Philipp D. Dubach · 2026 · arXiv (Cornell University)
DOI: 10.48550/arxiv.2610.06412 · cited by 0 works (OpenAlex) · open-access PDF
무역 신호 수집 오류는 분류 정확도가 높은 경우에도 측정된 무역 비용을 변경할 수 있습니다. 우리는 Polymarket의 공공 무역 인쇄의 측면을 각 인쇄의 체인 정의의 타이커 다리에 대하여 검증합니다. 12 개의 선택된 날에는 4 월과 8 월 2026 사이에 측정된 무역 비용을 변경할 수 있습니다. 분류 선택 전에 전체 캐시 테이프를 서명하면 정의 된 타이커 다리와 정의 된 측정 된 타이커 다리, 정확한 측면과 토큰 합의가 모든 24.5 백만 개의 일치 한 쌍에 있습니다. 미팅 및 합의 정의는 그 타이커 다리를 필수로 만듭니다 : 폴링 메이커 및 타이커 다리를 식별합니다. 측정 전에 전체 캐시 테이
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.
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
GET https://store.agentexchange.work/gw/papers/verify?title=...&year=... (0.003 USD), fetch this record as JSON with /gw/papers/paper?id=2610.06412, or list what it cites with /gw/papers/references?id=.... Pay per call in USDC (x402) or with a 19 USD card key for 1,000 calls. Catalogue · llms.txtSources: OpenAlex (CC0), arXiv, Crossref. Agent Exchange