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均值回归概率模型下的选举博彩市场配对交易

文章 arXiv papers · 作者: Haoyu Liu et al.
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总结

本案例研究将配对交易逻辑用于政治博彩市场，对两个主要政党候选人的隐含概率总和进行建模。潜在的奥恩斯坦—乌伦贝克过程以时变均值回归水平表示底层概率，加性噪声则表示观测赔率。研究使用定期采样的数据，通过状态空间似然估计参数；连续重复的报价会被压缩，同时在连续时间转移中保留其经过时间。

当预计隐含概率总和将下降时，参数自助法上侧预测界限会生成信号；布拉德利—特里类型模型则选择要使用哪位候选人的赔率报价。候选人选择模型使用2020年选举数据训练，并在2024年数据上评估，产生130个信号、95.1%的一步覆盖率、1.86%的合成赔率价格平均收益，以及1.12的未年化单笔夏普型比率。这些是无摩擦的描述性指标，并非可执行的博彩利润；作者将该方法作为适用于两名候选人市场的概念验证。

核心观点

  • 该框架用含噪声且均值回归水平随时间变化的过程，对两位候选人的隐含概率总和建模。
  • 状态空间似然在考虑保留观测间不规则经过时间的同时估计模型参数。
  • 自助法上侧预测界限用于识别隐含概率总和可能下降的情形。
  • 布拉德利—特里类型模型用于选择特定候选人的赔率报价。
  • 样本外2024年结果属于描述性数据，未计入博彩交易所摩擦。

标签

均值回归统计学事件驱动
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# Adapting Pairs Trading to Gambling Markets A Case Study of the U.S. Presidential Election


# Adapting Pairs Trading to Gambling Markets A Case Study of the U.S. Presidential Election









Pairs trading exploits mean reversion in the relationship between related assets. We adapt this idea to political betting markets by modelling the combined implied probability of the two major-party nominees with a latent Ornstein-Uhlenbeck process whose mean-reversion level varies over time and whose observations contain additive noise. Model parameters are estimated from regularly sampled odds data using a state-space likelihood, with consecutive repeated values represented by a single retained observation and the elapsed number of sampling intervals preserved in the continuous-time transition. Parametric-bootstrap upper prediction bounds identify signal times at which the combined implied probability is likely to decline, and a no-intercept Bradley-Terry-type model selects the candidate-specific odds quote. The candidate-selection model is trained on 2020 U.S. presidential-election data and evaluated out of sample on 2024 data. The 2024 analysis produced 130 signals, empirical one-step coverage of 95.1%, a mean synthetic odds-price return of 1.86%, and an unannualized per-trade Sharpe-type ratio of 1.12. These returns are frictionless descriptive quantities rather than executable betting-exchange profits. The results support the integrated framework as a proof of concept for two-candidate electoral markets.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。