1. 08-24-08 12:14 PM #1
    Bullajami
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    Time Value of Money

    I see an arbitrage opportunity on NFL TSW. One book has Over 8 +120, another has Under 8 -105.

    How would you figure in the time value of money and adjust for the push probability to figure the real value of this situation?
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  2. 08-24-08 01:30 PM #2
    Data
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    I think what you also need to account for probabilities of a book, or a player, not making it till after the season.
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  3. 08-24-08 02:10 PM #3
    Bullajami
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    Books are both rated B.

    Statistically speaking, I should survive this NFL season.

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  4. 08-24-08 06:26 PM #4
    HedgeHog
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    If the money would have been used for other +Ev situations, then tying up the funds for 5+ months is a mistake IMO.
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  5. 08-25-08 10:50 AM #5
    dwaechte
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    Before taking push probability into account, you're getting about a 3.5% ROI in a 5 month span. Not bad, but certainly nothing to get excited about. When you factor in push probability it would turn this into a relatively poor investment.
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  6. 08-25-08 12:05 PM #6
    Bullajami
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    Quote Originally Posted by dwaechte View Post
    Before taking push probability into account, you're getting about a 3.5% ROI in a 5 month span. Not bad, but certainly nothing to get excited about. When you factor in push probability it would turn this into a relatively poor investment.
    Intuitively, I agree. I am hoping to be shown how to mathematically prove or disprove it.
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  7. 08-25-08 01:09 PM #7
    dwaechte
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    Quote Originally Posted by Bullajami View Post
    Intuitively, I agree. I am hoping to be shown how to mathematically prove or disprove it.
    Well really there's nothing in this question that deals with any legitimate time value of money concepts. You'd probably have to give more detail or another question to get an answer that started to explore some basic formulas.

    As far as the push probability, probably the best way I can think of is to look at all historical teams that had an 8 win total and see how many pushed. To increase the sample size you may want to use all teams that had a line set anywhere from 7-9 wins. Someone else may have a more accurate way to do this, but I can't think of one.

    But once you do factor in the push probability to get your real ROI number, all you have to do is compare that to a standard interest rate over that 5 month period. The only way you'd get into real calculations is if you had a monthly compounding interest rate and wanted to see what that would turn into over a 5 month period, or something along those lines.
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