Forecasting in Financial and Sports Gambling Markets - Adaptive Drift Modeling

Informationen zum Autor William S. Mallios, PhD, is a consultant at Mallios and Associates, where he provides professional advisement to various financial, medical, and educational institutions. A Fulbright Senior Specialist, Dr. Mallios served as professor of decision sciences at California State University, Fresno, for more than twenty-five years and has provided consulting services for government organizations, including the Food and Drug Administration and Centers for Disease Control. Klappentext A guide to modeling analyses for financial and sports gambling markets, with a focus on major current events Addressing the highly competitive and risky environments of current-day financial and sports gambling markets, Forecasting in Financial and Sports Gambling Markets details the dynamic process of constructing effective forecasting rules based on both graphical patterns and adaptive drift modeling (ADM) of cointegrated time series. The book uniquely identifies periods of inefficiency that these markets oscillate through and develops profitable forecasting models that capitalize on irrational behavior exhibited during these periods. Providing valuable insights based on the author's firsthand experience, this book utilizes simple, yet unique, candlestick charts to identify optimal time periods in financial markets and optimal games in sports gambling markets for which forecasting models are likely to provide profitable trading and wagering outcomes. Featuring detailed examples that utilize actual data, the book addresses various topics that promote financial and mathematical literacy, including: Higher order ARMA processes in financial markets The effects of gambling shocks in sports gambling markets Cointegrated time series with model drift Modeling volatility Throughout the book, interesting real-world applications are presented, and numerous graphical procedures illustrate favorable trading and betting opportunities, which are accompanied by mathematical developments in adaptive model forecasting and risk assessment. A related web site features updated reviews in sports and financial forecasting and various links on the topic. Forecasting in Financial and Sports Gambling Markets is an excellent book for courses on financial economics and time series analysis at the upper-undergraduate and graduate levels. The book is also a valuable reference for researchers and practitioners working in the areas of retail markets, quant funds, hedge funds, and time series. Also, anyone with a general interest in learning about how to profit from the financial and sports gambling markets will find this book to be a valuable resource. Zusammenfassung This book discusses cointegrated time series associated with financial and sports gambling markets are analyzed in terms of time-varying parameter models. Inhaltsverzeichnis Preface. 1.Introduction. 1.1 Favorable Betting Scenarios. 1.2 Gambling Shocks. 1.3 The Dark Side of Sports: The Fixes. 2. Market Perspectives: Through a Glass Darkly. 2.1 Changing Paradigms. 2.2 Modeling Commentaries. 2.3 Sports Hedge Funds. 2.4 Gambling Markets: Prohibition, Repeal and Taxation. 2.5 Quantifying the Madness of Crowds in Sports Gambling Markets. 2.6 Statistical Shocks: Alias Variables. 3. Opacity and Present Day Variables. 3.1 Dilemmas between Social and Economic Efficiency. 3.2 Towards a More Visible Hidden Hand. 3.3 Hedge Funds and Galapagos. 3.4 Lotteries: Market for Losers. 4. Adaptive Modeling Concepts in Dynamic Markets. 4.1 Quant Funds and Algorithmic Trading. 4.2 Market Volatility and Fat-Trailed Distributions. 4.3 Adaptive ARMA(1,1) Drift Processes. 4.4 Time Varying Volatility. 5. Studies in Japanese Candlestick Charts. 5.1 Bulli...

List of contents

Preface.
 
1.Introduction.
 
1.1 Favorable Betting Scenarios.
 
1.2 Gambling Shocks.
 
1.3 The Dark Side of Sports: The Fixes.
 
2. Market Perspectives: Through a Glass Darkly.
 
2.1 Changing Paradigms.
 
2.2 Modeling Commentaries.
 
2.3 Sports Hedge Funds.
 
2.4 Gambling Markets: Prohibition, Repeal and Taxation.
 
2.5 Quantifying the Madness of Crowds in Sports Gambling Markets.
 
2.6 Statistical Shocks: Alias Variables.
 
3. Opacity and Present Day Variables.
 
3.1 Dilemmas between Social and Economic Efficiency.
 
3.2 Towards a More Visible Hidden Hand.
 
3.3 Hedge Funds and Galapagos.
 
3.4 Lotteries: Market for Losers.
 
4. Adaptive Modeling Concepts in Dynamic Markets.
 
4.1 Quant Funds and Algorithmic Trading.
 
4.2 Market Volatility and Fat-Trailed Distributions.
 
4.3 Adaptive ARMA(1,1) Drift Processes.
 
4.4 Time Varying Volatility.
 
5. Studies in Japanese Candlestick Charts.
 
5.1 Bullish and Bearish Patterns from Chartist Perspectives.
 
5.2 Black Monday.
 
5.3 A Matter of Alleged Insider Trading.
 
5.4 Commodity Bubbles and Volatility.
 
5.5 Short Selling.
 
5.6 Terrorist Attacks and the Markets.
 
5.7 A Hollywood Romance: Spiderman and Tinkerbell.
 
5.8 Copenhagen and Climate Change: Exxon Mobile Buys XTO Energy.
 
6. Pseudo Candlestick Graphics for Major League Baseball.
 
6.1 The 2008 World Series: Philadelphia Versus Tampa Bay.
 
6.2 The 2008 Chicago Cubs: Visions of 1908 Heroics.
 
6.3 A Strange Set of Coincidences: A Plate Umpire's Affinity for a Pitcher.
 
7. Single Equation Adaptive Drift Modeling.
 
7.1 Adaptive ARMA Processes.
 
7.2 Variable Selection: Identifying the Reduced Model.
 
7.3 Reduced Model Estimation: Single Equations.
 
7.4 Reduced Model Empirical Bayesian Estimation: Single Equations.
 
7.5 Single Equation Volatility Modeling: Adaptive GARCH Processes.
 
7.6 Modeling Monetary Growth Data.
 
7.7 Modeling GNP Deflator Growth.
 
8. Single Equation Modeling: Sports Gambling Markets.
 
8.1 Effects of Interactive Gambling Shocks.
 
8.2 End of an Era: Modeling Profile of the 1988-89 Los Angeles Lakers.
 
8.3 Spread Betting.
 
8.4 Modeling Profile of a Dream Team: The 1989-90 San Francisco 49ers.
 
8.5 Major League Baseball: A Data Intensive Game.
 
8.6 While Still Under the Curse: Modeling Profile of the 1990 Red Sox.
 
8.7 Portrait of Controversy: Modeling Profile of Roger Clemens with the 1990 Red Sox.
 
8.8 Pitcher of the Year in 1990: Modeling Profile of the Oakland's Bob Gibson.
 
9. Simultaneous Financial Time Series.
 
9.1 The Cruse of Higher Dimensionality.
 
9.2 From Candlesticks to Cointegration.
 
9.3 Cointegration in Terms of Autoregressive Processes.
 
9.4 Estimating Disequilibria through Factor Analysis.
 
9.5 Simultaneous Time Series: Adaptive Drift Modeling.
 
9.6 Simultaneous Time Series: Adaptive Volatility Modeling.
 
9.7 Exploratory Modeling: Marathon Oil Company.
 
9.8 The High Tech Bubble of 2000.
 
9.9 Twenty-Five Standard Deviation Moves.
 
9.10 The March 2009 Nadir.
 
10. Modeling Cointegrated Time Series Associated with NBA and NFL Games.
 
10.1 Modeling Transitions.
 
10.2 The 2007-08 NY Giants: As Unexpected as Katrina.
 
10.3 Misery for the Patriot Faithful.
 
10.4 The Pittsburgh Steelers in Super Bowl 2005.
 
10.6 Miami's First NBA

Report

"This book is a valuable reference for researchers and practitioners in the area of finance. It is also useful for graduate students in financial economics and time series analysis as well as for anyone who wants to profit from financial and sports gambling markets." (Zentralblatt MATH, 2011)

Product details

• Authors: Mallios, William S Mallios, William S. Mallios, William S. (Mallios and Associates) Mallios, Ws Mallios, MALLIOS WILLIAM S, Mallios William S.
• Publisher: Wiley, John and Sons Ltd
• Languages: English
• Product format: Hardback
• Released: 20.12.2010
• EAN: 9780470484524
• ISBN: 978-0-470-48452-4
• No. of pages: 278
• Subjects: Natural sciences, medicine, IT, technology > Mathematics > Probability theory, stochastic theory, mathematical statistics; Social sciences, law, business > Business > General, dictionaries; Statistik, Trend, Statistics, Zeitreihen, Financial Engineering, Finance & Investments, Finanz- u. Anlagewesen, Finanztechnik, Time Series, Statistics for Finance, Business & Economics, Finanz- u. Wirtschaftsstatistik, Vorhersagbarkeit