Hubáček, Ondřej and Šourek, Gustav and Železný, Filip

Hubáček, O., Šourek, G., & Železný, F. (2019). Exploiting sports-betting market using machine learning. International Journal of Forecasting, 35(2), 783–796.

Abstract

We introduce a forecasting system designed to profit from sports-betting market using machine learning. We contribute three main novel ingredients. First, previous attempts to learn models for match-outcome prediction maximized the model’s predictive accuracy as the single criterion. Unlike these approaches, we also reduce the model’s correlation with the bookmaker’s predictions available through the published odds. We show that such an optimized model allows for better profit generation, and the approach is thus a way to ‘exploit’ the bookmaker. The second novelty is in the application of convolutional neural networks for match outcome prediction. The convolution layer enables to leverage a vast number of player-related statistics on its input. Thirdly, we adopt elements of the modern portfolio theory to design a strategy for bet distribution according to the odds and model predictions, trading off profit expectation and variance optimally. These three ingredients combine towards a betting method yielding positive cumulative profits in experiments with NBA data from seasons 2007–2014 systematically, as opposed to alternative methods tested.

Citation

@article{hubacek2019exploiting,
  title = {Exploiting sports-betting market using machine learning},
  author = {Hubáček, Ondřej and Šourek, Gustav and Železný, Filip},
  journal = {International Journal of Forecasting},
  volume = {35},
  number = {2},
  pages = {783--796},
  year = {2019},
  publisher = {Elsevier},
  doi = {10.1016/j.ijforecast.2019.01.001}
}