Initial applications of prediction markets (PMs) indicate they provide good forecasting instruments in many settings, such as elections, the box office, or product sales. One particular characteristic of these “first-generation” (G1) PMs is that they link the payoff value of a stock's share...

We propose a practical framework to detect mispricing, test informational efficiency and evaluate the behavioural biases within high-frequency prediction markets, especially in how prices react to news. We show this using betting exchange data for association football, exploiting the moment when...