Studies of financial market informational efficiency have proven burdensome in practice, because it is difficult to pinpoint when news breaks and is known by some or all the participants. We overcome this by designing a framework to detect mispricing, test informational efficiency and evaluate the behavioural biases within high-frequency prediction markets. We demonstrate this using betting exchange data for association football, exploiting the moment when the first goal is scored in a match as major news that breaks cleanly. There are pre-match and in-play mispricing and inefficiency in these markets, explained by reverse favourite-longshot bias (favourite bias). The mispricing tends to increase when the major news is a surprise, such as a goal scored by a longshot team late in a match, with the market underestimating their chances of going on to win These results suggest that, even in prediction markets with large crowds of participants trading state-contingent claims, significant informational inefficiency and behavioural biases can be reflected in prices.

金融市场信息效率的研究在实践中被证明是繁重的，因为很难确定新闻何时发生并为部分或所有参与者所知。我们通过设计一个框架来检测错误定价、测试信息效率和评估高频预测市场中的行为偏差来克服这个问题。我们使用协会足球的投注交换数据证明了这一点，利用比赛中第一个进球的时刻作为干净利落的重大新闻。这些市场存在赛前和比赛中的错误定价和低效率，这可以通过反向热门冷门偏差（热门偏差）来解释。当重大新闻出人意料时，错误定价往往会增加，例如比赛后期远射队进球，