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Need advice on a book regarding a finance related problem
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Need advice on a book regarding a finance related problem

  #1 (permalink)
Trading Apprentice
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Need advice on a book regarding a finance related problem

Hello,

I appologize in advance for being a bit off-topic, but I used to read this forum a lot and I thought it's the best place to get some serious advice given the nature of my questions.

I am building a sport betting system based exclusively on a database with the historical results of sport bettors as well as their wagers in real-time.
In short, I follow the bets of the most profitable bettors depending on their past results.
I have compilled all the data of the bettors in spreadsheets and I am running all sorts of statistics about them.

The problems I am confronted to are highly related to finance and statistics and I am looking for an advice on a good book that would help me to solve these problems mathematically.

Here are some examples of the kind of problems I am working on:

- Mr X has made 10 000 wagers with an average ROI of 8%.
Mr X gives me a tip on an event with a 1,4 odds. What is my expectation on this bet given the informations I have about Mr X.
Most generally how to rate mathematically the bettors based on their performance and the number of wagers I have about them in my database.

- How likely is it that Mr X. is in fact a lucky looser and how should this impact my bets?

- What is the optimal amount to assign to a bet in order to lower maximally my variance and optimize my profit depending on the bettor performance, the number of historical bets I have about him, the size of my bankroll, the number of bets I am able to take everyday, etc...(I guess this would have something to do with the Kelly Criterion but how to apply it optimally in my case...?)

I am working with Excel so if you have also a book that explain how to do these tasks in excel that would be great.

Thanks for your help!

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  #3 (permalink)
Trading for Fun
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I would go here Handicappers Think Tank | Betting Strategy

If you have a stream of returns you can always use the sharpe ratio to compare between two series. Just google how to do that in excel.

discrete Kelly will give you growth optimal bet sizes for this but not optimal probability of profit. Any of Ralph Vince later work will get into probability of profit.

For his tip you would just want to figure out his expectation per bet - some factor that he is a liar or at least not giving you his best bets.

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Trading Apprentice
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Thansk for your reply!

I know very well sbrforum and I've just posted my question there as well (I have posted it here first because I thought my questions are more finance related...)

Ralph Vince seems right on the topic, thanks!
Which one his books would best apply to my questions ? "Risk-opportunity Analysis" or should I begin with "Mathematics of MM"?

What about excel, statistics, simulations? Do you have some good recommendations?

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Risk Analysis in Theory and Practice/Jean-Paul Chavas

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  #6 (permalink)
Trading for Fun
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JossBeaumont View Post
Ralph Vince seems right on the topic, thanks!
Which one his books would best apply to my questions ? "Risk-opportunity Analysis" or should I begin with "Mathematics of MM"?

What about excel, statistics, simulations? Do you have some good recommendations?


Honestly, Ralph has kind of wrote the same book 5 times. I like Handbook of Portfolio Mathematics the best but any of his books are good but they are all very similar.

Excel is best learned by doing. VBA developers handbook is really dense and good but searching excel forums for a specific situation is how I learned I would say.

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