Measuring Kalshi Price Discovery from Contractual Decidability
Summary
This paper proposes a prospective study of Kalshi price discovery around the point when a contract first becomes decidable under its rules. It distinguishes markets still available to trade after that point from those that close beforehand, treating closure as a competing event when measuring convergence. The intended primary cohort requires an accepted first-decidability time, an exact terminal payoff, a trading-availability classification, and admissible trade or candle coverage.
The paper reports that historical venue endpoints cannot substitute for contractual-decidability times, and that completed historical recovery yielded no qualifying cohort. Prospective evidence enrollment is active, but production price extraction has not begun. A limited pilot is described to check data acquisition and handling of block trades, synthetic candles, stale observations, and clock alignment after blind packet lock. It will not produce price estimates. The analysis therefore remains a protocol rather than evidence of measured price discovery; estimation awaits independently reconstructed clocks and source-release groupings. The paper also rules out broad exchange-wide crawling and retrospective clock substitution.
Key ideas
- The study anchors price discovery to contractual decidability rather than venue endpoints.
- Markets that remain tradable after decidability form a reaction cohort, while earlier closures form a stale-terminal cohort.
- Closure is modeled as a competing event in convergence analysis.
- Historical recovery produced no admissible contractual-decidability cohort.
- Prospective price estimation awaits accepted clocks and coverage, while the pilot is limited to data-quality checks.
Tags
Full text
# 2610.00173 # Price Discovery at the Boundary of Contractual Decidability: Terminal-Value Gaps, Trading Availability, and Venue Finality on Kalshi This paper studies price discovery around contractual decidability rather than an arbitrary venue label. Its upstream lifecycle and decidability clocks are specified in Papers 7.1 and 7.3. Historical venue endpoints remain useful background: 152,694 ordinary markets form the retrospective feasibility denominator, 71,657 have an exact public endpoint, and 70,979 have an exact determination-to-endpoint pair. Those fields do not supply a contractual-decidability clock. The completed historical recovery produced no historically admissible contractual-decidability cohort. The prospective infrastructure shakedown has passed and evidence enrollment is active, but production price extraction has not started. The primary binary cohort will be drawn from the prospectively enrolled and blind-adjudicated contractual-decidability frame, with an accepted exact or interval first-decidability clock, exact terminal payoff, trading-availability classification, and admissible bounded non-block trade or real-candle coverage. Markets tradable after decidability enter a reaction cohort; markets closed before decidability enter a stale-terminal cohort. Closure is a competing event for convergence, not ordinary missingness. A 20-market price pilot may validate acquisition, block-trade treatment, synthetic-candle rejection, staleness, and clock alignment only after blind packet lock and only from accepted prospective clock candidates. It does not create price estimates. The paper specifies a prospective primary cohort and a targeted pilot protocol. Price estimation awaits independently reconstructed first/stable-decidability clocks and source-release clusters. No broad exchange-wide trade crawl or post hoc clock substitution is permitted.
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