Advent of Alpha Day 23: Inferring a Book

Let’s suppose you have two selections in a market - say, draw no bet winner markets in football.

You notice that selection A has had £100,000 matched since the market opened and is currently 2.0/2.02 back/lay spread.

Selection B has had £90,000 matched since the market opened and is currently 1.9/1.91 back/lay spread.

That means for some reason a selection that has traded nearly 53% of the money is longer than the selection trading 47% of the money: that doesn’t make a lot of logical sense.

If you were to infer a book based on money traded, selection A should be 1.9 and selection B should be 2.1 at a fair price, not including over-round.

What to do, eh?

This example is contrived, you’ll rarely seeing anything this good, and to be honest book inference is a fine enough art that enough people seem to be doing, all I can really do here is offer you a starting place and suggest you think about how to introduce other parameters to the mix.

The main reason I bring it here is because a lot of people think weight of money offered is indicative of something useful - it isn’t. Weight of money traded though should tell you something about how people value a selection beyond the prices on the spread.