Philipp D. Dubach · 2026 · arXiv (Cornell University)
DOI: 10.48550/arxiv.2610.06412 · cited by 0 works (OpenAlex) · open-access PDF
Les erreurs de collecte de signes commerciaux peuvent modifier les coûts de trading mesurés même lorsque la précision de la classification est élevée. Nous validons le côté des impressions commerciales publiques de Polymarket contre le pied de tirage de chaque règlement sur chaîne de l'impression. Sur douze jours sélectionnés entre avril et août 2026, couvrant les deux générations d'échange, 92,1% à 100,0% des impressions correspondent à un pied de tirage établi, avec un accord de côté exact et de jeton sur les 24,5 millions de paires correspondantes. Le règlement de fond et de fond rend ce pied de tirage essentiel: le fabricant de pool et les jambes de fond modifient la part d'achat mesurée. Signer la bande cachée complète avant la sélection de
Machine translation (Meta M2M100); the English original follows.
Trade-sign errors can change measured trading costs even when classification accuracy is high. We validate the side of Polymarket's public trade prints against the taker leg of each print's on-chain settlement. On twelve selected days between April and August 2026, spanning both exchange generations, 92.1% to 100.0% of prints match a settled taker leg, with exact side and token agreement on all 24.5 million matched pairs. Mint-and-merge settlement makes that taker leg essential: pooling maker and taker legs changes the measured buy share. Signing the full cached tape before settlement selection yields 16.6 million prints signed by every rule; equal-day balanced accuracy is 0.942 for Lee-Ready, 0.768 for the tick test and 0.670 for retrospective bulk volume classification. On 16.4 million identical eligible fills, Lee-Ready raises effective spread by 0.429 cents per share under equal-fill weights; its realised-spread difference is -0.209 cents. Under share-volume weights, taker five-minute midpoint impact is 0.689 cents, while tick and bulk classifications give -0.374 and -0.119 cents. That aggregate sign reversal disappears when tied print rows are excluded. Distortion depends on error-weighted signed outcomes, sample selection and weighting. Receipt-time ordering and unobserved future-quote age limit these delivered-quote accounting quantities; they do not identify causal impact or private information. Supporting venue and collector analyses provide descriptive diagnostics.
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Topics: Pooling, Settlement (finance), Sample (material), Aggregate (composite), Econometrics, Statistics
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