Testing market efficiency: Evidence from the NFL sports betting market

This article examines the efficiency of the National Football League (NFL) betting market. The standard ordinary least squares (OLS) regression methodology is replaced by a probit model. This circumvents potential econometric problems, and allows us to implement more sophisticated betting strategies where bets are placed only when there is a relatively high probability of success. In-sample tests indicate that probit-based betting strategies generate statistically significant profits. Whereas the profitability of a number of these betting strategies is confirmed by out-of-sample testing, there is some inconsistency among the remaining out-of-sample predictions. Our results also suggest that widely documented inefficiencies in this market tend to dissipate over time.

Quantitative Analysis of Placental Vasculature by Three-Dimensional Power Doppler Ultrasonography in Normal Pregnancies From 12 to 40 Weeks of Gestation

Evaluate the distribution and variation of placental vascular indices according to gestational age and placental volume. From March to November 2007, three-dimensional (3D)-power Doppler ultrasound was performed in 295 normal pregnancies from 12 to 40 weeks of gestation. Using the same preestablished settings for all patients, power Doppler was applied to the placenta and placental Volume was obtained by the rotational technique (VOCAL(TM)). The 3D-power histogram was used to determine the placental vascular indices: vascularization index (VI), flow index (FI) and vascularization-flow index (VFI). The placental vascular indices were then plotted against gestational age and placental volume. All placental vascular indices showed constant distribution throughout gestation. A tendency for a reduction in placental vascular indices with increased placental volume was observed, but was only statistically significant when placental FI was considered (p < 0.05). All placental vascular indices estimated by 3D-power Doppler ultrasonography presented constant distribution throughout gestation, despite the increase in placental volume according to gestational age. (C) 2008 Elsevier Ltd. All rights reserved.

Microscopic origin of non-Gaussian distributions of financial returns

In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments. We extend the standard log-normal process to include another random component in the so-called stochastic volatility models. We study these models under an assumption, akin to the Born-Oppenheimer approximation, in which the volatility has already relaxed to its equilibrium distribution and acts as a background to the evolution of the price process. In this approximation, we show that all models of stochastic volatility should exhibit a scaling relation in the time lag of zero-drift modified log-returns. We verify that the Dow-Jones Industrial Average index indeed follows this scaling. We then focus on two popular stochastic volatility models, the Heston and Hull-White models. In particular, we show that in the Hull-White model the resulting probability distribution of log-returns in this approximation corresponds to the Tsallis (t-Student) distribution. The Tsallis parameters are given in terms of the microscopic stochastic volatility model. Finally, we show that the log-returns for 30 years Dow Jones index data is well fitted by a Tsallis distribution, obtaining the relevant parameters. (c) 2007 Elsevier B.V. All rights reserved.