William S. Mallios

Forecasting in Financial and Sports Gambling Markets (eBook, ePUB)

Adaptive Drift Modeling

• Format: ePub

Produktbeschreibung

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.

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Produktdetails

• Verlag: John Wiley & Sons
• Seitenzahl: 264
• Erscheinungstermin: 29. März 2011
• Englisch
• ISBN-13: 9781118099537
• Artikelnr.: 37357364

Autorenporträt

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.

Inhaltsangabe

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 Title:
2005-06. 10.7 The 2006-07 San Antonio Spurs: Unexpected Titlists. 10.8
Monitoring MBA Referee Performances. 11. Categorical Forecasting. 11.1
Fisher's Discriminant Function. 11.2 Bayesian Discriminant Analysis. 11.3
Logistic Regression Analysis. 11.4 Allocating Betting Monies in the Sports
Gambling Markets. 12. Financial/Mathematical Illiteracy and Adolescent
Problem Gambling: Epidemics More Damaging Than the 1918 Influenza Pandemic.
12.1 The Call for Financial/Mathematical Literacy in 21st Century America.
12.2 Data, Information and the Information Age. 12.3 The Companion Epidemic
of Adolescent Problem Gambling. 12.4 Results of a Pilot Study on Adolescent
Problem Gambling and Financial /Mathematical Literacy. 13. The Influenza
Futures Markets. 13.1 Markets for Expert Information Retrieval. 13.2
Adaptive Seasonal Time Series Modeling. 13.3 Forecasting Weekly
Influenza/Pneumonia Deaths. Index. List of Figures.