Biased Roulette Wheel: A Quantitative Trading Strategy Approach
Abstract
The purpose of this research paper it is to present a new approach in the framework of a biased roulette wheel. It is used the approach of a quantitative trading strategy, commonly used in quantitative finance, in order to assess the profitability of the strategy in the short term. The tools of backtesting and walk-forward optimization were used to achieve such task. The data has been generated from a real European roulette wheel from an on-line casino based in Riga, Latvia. It has been recorded 10,980 spins and sent to the computer through a voice-to-text software for further numerical analysis in R. It has been observed that the probabilities of occurrence of the numbers at the roulette wheel follows an Ornstein-Uhlenbeck process. Moreover, it is shown that a flat betting system against Kelly Criterion was more profitable in the short term.
Keywords
Cite
@article{arxiv.1609.09601,
title = {Biased Roulette Wheel: A Quantitative Trading Strategy Approach},
author = {Giancarlo Salirrosas Martínez},
journal= {arXiv preprint arXiv:1609.09601},
year = {2016}
}