  Using Betfair's time series data, an analysis of the United Kingdom (UK)
horse racing market reveals an interesting paradox: a market with short tails,
rapidly decaying autocorrelations, and no long-term memory. There seems to be a
remarkably high level of informational efficiency in betting exchange returns,
in contrast to financial assets that are characterized by heavy tails and
volatility clustering. The generalized Gaussian unconditional distribution with
a light tail point to a market where knowledge is quickly assimilated and
reflected in prices. This is further supported by the extremely quick fading of
autocorrelations and the absence of gain-loss asymmetry. Therefore, in addition
to measuring long-range memory, the Hurst exponent also shows mean reversion, a
sign that markets respond quickly to fresh information.
