Specification and Performance Optimisation of Real-time Trading Strategies for Betting Exchange Platforms

摘要

Since their introduction in June 2000, betting exchanges have revolutionised the nature and practice of betting. Betting exchange markets share some similarities with financial markets in terms of their operation. However, in stark contrast to financial markets, there are very few quantitative analysis tools available to support the development of automated betting exchange trading strategies. This thesis confronts challenges related to the generic specification, back-testing, optimisation and execution of parameterised automated trading strategies for betting exchange markets, and presents a related framework called SPORTSBET. The framework is built on an open-source event-driven platform called URBI, which, to date, has been mainly used to develop applications in the domains of robotics and artificial intelligence. SPORTSBET consists of three main components, each of which addresses a hitherto-unmet research challenge. The first is UBEL, a novel generic betting strategy specification language based on the event-driven scripting language of URBI, which can be used to specify parameterised betting strategies for markets related to a wide range of sports. The second is a complex event processor which is capable of synchronising multiple data streams and either replaying them on an historical basis with dynamic market re-construction, in order to quantify strategy performance, or executing them in real time with either real or virtual capital. The final component is an optimisation platform whereby strategy parameters are automatically refined using a stochastic search heuristic inudorder to improve strategy performance. Explicitly, the optimisation process involves stochastic initialisation, intermediate stochastic selection and acceptance of the candidate solution. To demonstrate the applicability and effectiveness of SPORTSBET, case studies are presented for betting strategies for a range of sports. As illustrated in the case studies, the SPORTSBET optimisation platform implements Walk-Forward Analysis for the robust parameterisation of betting exchange trading strategies without overfitting. Nonetheless, the outcomes should be carefully interpreted, while numerous tests of a strategy are recommended.