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Evidence of in-play insider trading on a UK betting exchange

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An open question in market microstructure is whether ‘informed’ traders have an advantage due to access to private, inside, information; or due to a superior ability to process public information. In this article we attempt to answer this question with data from a sports betting exchange taken during play. Uniquely, this allows us to time-stamp information events to the nearest second, and to ensure we are observing all relevant information regarding the value of an asset. We find evidence of inside information but not of a superior ability to process public information. The first finding suggests that a subset of the betting population are observing the action before the wider public (possibly due to delays in the television signal), and betting using this informational advantage.

Document Type: Research Article


Affiliations: Department of Financial and Management Studies,SOAS, University of London, Thornhaugh Street, Russell SquareLondon WC1H 0XG, UK

Publication date: 2012-03-01

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