Comment on Glenn Shafer's 'Testing by Betting'

Comment on “ Hypothesis testing by convex optimization ” ∗

With the growing size of problems at hand, convexity has become preponderant in modern statistics. Indeed, convex relaxations of NP-hard problems have been successfully employed in a variety of statistical problems such as classification [2, 16], linear regression [7, 5], matrix estimation [8, 12], graphical models [15, 9] or sparse principal component analysis (PCA) [10, 4]. The paper “Hypothe...

Field Experiments by Glenn

Parimutuel Betting on Permutations

We focus on a permutation betting market under parimutuel call auction model where traders bet on the final ranking of n candidates. We present a Proportional Betting mechanism for this market. Our mechanism allows the traders to bet on any subset of the n ‘candidate-rank’ pairs, and rewards them proportionally to the number of pairs that appear in the final outcome. We show that market organiz...

Comment on ‘ ‘ Testing Hypotheses about Sun - Climate

Rypdal and Rypdal (RR) [1] assert that the hypothesized linking between the Sun and climate complexity, first suggested by Scafetta and West (SW) [2] and developed in subsequent publications [3–6], is not supported by data. However, RR employed Lévy Flight noise in their analysis instead of the Lévy Walk (LW) signal used by SW. In fact, RR focused on the statistics of increments while SW focuse...

Testing Market Efficiency in a Fixed Odds Betting Market

This paper tests the hypothesis of market efficiency for the fixed odds betting market of Swedish trotting head-to-head matches. The hypothesis is carried out by a Wald test within a logistic regression model. Data support rejection of semi-strong efficiency at the 5 percent level of significance, while the weak form efficiency cannot be rejected. Moreover, evaluation of the simple strategy to ...