Newest papers

Measuring Trade Direction in a Prediction Market: Settlement Ground Truth and Trading-Cost Measurement on Polymarket

Philipp D. Dubach · 2026 · arXiv (Cornell University)

DOI: 10.48550/arxiv.2610.06412 · cited by 0 works (OpenAlex) · open-access PDF

Indonesian

Kesalahan pengumpulan tanda perdagangan dapat mengubah biaya perdagangan yang diukur bahkan ketika akurasi klasifikasi tinggi. Kami memvalidasi sisi cetak perdagangan publik Polymarket terhadap kaki pengambil dari setiap penutupan rantai. Pada dua belas hari terpilih antara April dan Agustus 2026, mencakup kedua generasi pertukaran, 92,1% hingga 100.0% dari cetak yang cocok dengan kaki pengambil yang telah ditetapkan, dengan sisi yang akurat dan kesepakatan token pada semua 24,5 juta pasangan yang cocok. Penutupan mint-and-merge membuat kaki pengambil itu penting: pembuat pooling dan kaki pengidentifikasi mengubah saham pembelian yang diukur. Menandatangani pita cache penuh sebelum pemilihan penutupan menghasilkan 16,6 juta cetak yang ditandatangani oleh setiap aturan; akurasi seimbang adalah 0,942 untuk Lee-Ready, 0,768 untuk tes

Machine translation (Meta M2M100); the English original follows.

Abstract

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.

Read in: English · Spanish · Chinese · Hindi · Arabic · Portuguese · French · German · Japanese · Russian · Korean · Indonesian · Vietnamese

Topics: Pooling, Settlement (finance), Sample (material), Aggregate (composite), Econometrics, Statistics

Sources: OpenAlex (CC0), arXiv, Crossref. Agent Exchange