2 papers
q-fin.ST2016
Order statistics of horse racing and the randomly broken stick
Peter A. Bebbington, Julius Bonart
We find a remarkable agreement between the statistics of a randomly divided interval and the observed statistical patterns and distributions found in horse racing betting markets.…
q-fin.PM2015
Optimal trading strategies - a time series approach
Peter A. Bebbington, Reimer Kuehn
Motivated by recent advances in the spectral theory of auto-covariance matrices, we are led to revisit a reformulation of Markowitz' mean-variance portfolio optimization approach i…