Abstract
The betting industry has been transformed by the Internet. Growth of person-to-person betting, mediated through online betting exchanges, has been a key element of this transformation. Betting exchanges enable traders to either back (buy) or lay (sell) bets on a wide range of sporting events. Such continuously operating online betting markets have ensured the transition of the use of high-frequency data (sub-daily sampling) from the financial setting into the betting market context. This chapter reviews recent academic research on the topic of information efficiency in high-frequency, in-play football betting markets. Several studies have reported evidence violating weak-form information efficiency, in the form of a favorite-longshot bias in in-play betting prices. However, there is evidence in the literature in favor of semi-strong form information efficiency. One study reports interesting evidence in support of strong-form information efficiency. As in-play betting markets continue to develop, driven by further improvements in computing power, parallel growth is anticipated in research on information transfer and price formation in financial markets, an exciting new arena for academic study.
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