Behavioural finance has shown that investment decisions are the result of not just
rational but also emotional brain processes. On the assumption that emotions affect
financial markets, it would seem likely that football results might have a measurable
effect on financial markets. To test this, this study describes three algorithmic trading
systems based exclusively on the results of three top European football teams (Juventus,
Bayern München and Paris St Germain) opening long or short positions in the next
market season of the futures market of the index of each country (MIB (Milano Italia
Borsa), DAX (Deutscher Aktien Index) and CAC (Cotation Assistée en Continu).
Depending on the outcome of the last game played a long position was taken after a
victory and a short position after a draw or defeat. The results showed that the
algorithmic systems were profitable in the case of Juventus and Bayern whereas in the
case of PSG, the system was profitable, but in an inverse way. This study shows that
investment strategies that take account of sports sentiment could have a profitable
outcome.
Algorithmic Trading and the Limits of Securities Regulation
