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Application of Running Time Distribution Models in Japan

In: Efficiency Of Racetrack Betting Markets

Author

Listed:
  • Victor S. Y. Lo

    (Faculty of Commerce & Business Administration, University of British Columiba, Canada)

Abstract

To predict the the ordering probabilities such as the probability that horse i wins and j finishes second), the Harville (1973) model has been the most popular. The model assumes the running time distribution is independent exponential. However, a recent empirical study shows that the Henery (1981) model has a better fit. In this paper, we consider the Stern (1990) model in addition to the two models above. We fit the Stern model in a Japanese data set and conclude that the Stern model with a particular value of the shape parameter is superior to the others. Under the assumption of the Stern model, we show that the Harville model has a systematic bias in predicting the ordering probabilities.

Suggested Citation

  • Victor S. Y. Lo, 2008. "Application of Running Time Distribution Models in Japan," World Scientific Book Chapters, in: Donald B Hausch & Victor SY Lo & William T Ziemba (ed.), Efficiency Of Racetrack Betting Markets, chapter 24, pages 237-247, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812819192_0024
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