Long-range correlations in an online betting exchange for a football tournament

We analyze the changes in the market odds of football matches in an online betting exchange, Betfair.com. We identify the statistical differences between the returns that occur when the game play is under way, which we argue are driven by match events, and the returns that occur during half-time, which we ascribe to a trader-driven noise. Furthermore, using detrended fluctuation analysis we identify anti-persistence (Hurst exponent H < 0.5) in odds returns and long memory (H > 0.5) in the volatilities, which we attribute to the trader-driven noise. The time series of trading volume are found to be short-memory processes.