Convergence-Weighted Aggregation of Cross-Exchange Prediction Markets: A Dependency-Aware Index for Combining Prices Across Kalshi, Polymarket, Manifold, Metaculus, and Long-Tail Venues

Modern prediction-market venues increasingly host overlapping markets on identical world events. Naive aggregation methods treat each venue as a conditionally independent source given the resolution outcome; this assumption is violated by three documented mechanisms (cross-exchange copy-trading bots, shared news flow, arbitrageur compression). Adapts the Index of Convergence Multi-epistemic (ICM) framework to the prediction-market setting. Within Pi, the lead-lag primitive Pi_L is the load-bearing component for the empirical bias-reduction result. Synthetic experiments confirm bias-reduction direction under Mechanism I (copy-trading) but not under Mechanisms II (common factor) or III (arbitrage compression); result is regime-targeted rather than uniformly dominant. Strict cross-exchange backtest at V=2 listing venues degenerates ICM to equal-weighted naive mean. Reference implementation released open-source. Forward-looking evaluation across additional exchanges (Kalshi via authenticated API, plus Metaculus and long-tail venues) planned with rolling collection from May 2026.

Authors

Publication Details

Journal
Zenodo (CERN European Organization for Nuclear Research)
Published
2026-05-09
DOI
https://doi.org/10.5281/zenodo.20095781
Primary Topic
Sports Analytics and Performance
Type
article
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article

Convergence-Weighted Aggregation of Cross-Exchange Prediction Markets: A Dependency-Aware Index for Combining Prices Across Kalshi, Polymarket, Manifold, Metaculus, and Long-Tail Venues

Luka Stanisljevic
Zenodo (CERN European Organization for Nuclear Research)
Sports Analytics and Performance
article

Convergence-Weighted Aggregation of Cross-Exchange Prediction Markets: A Dependency-Aware Index for Combining Prices Across Kalshi, Polymarket, Manifold, Metaculus, and Long-Tail Venues

Luka Stanisljevic
article en

Abstract

Modern prediction-market venues increasingly host overlapping markets on identical world events. Naive aggregation methods treat each venue as a conditionally independent source given the resolution outcome; this assumption is violated by three documented mechanisms (cross-exchange copy-trading bots, shared news flow, arbitrageur compression). Adapts the Index of Convergence Multi-epistemic (ICM) framework to the prediction-market setting. Within Pi, the lead-lag primitive Pi_L is the load-bearing component for the empirical bias-reduction result. Synthetic experiments confirm bias-reduction direction under Mechanism I (copy-trading) but not under Mechanisms II (common factor) or III (arbitrage compression); result is regime-targeted rather than uniformly dominant. Strict cross-exchange backtest at V=2 listing venues degenerates ICM to equal-weighted naive mean. Reference implementation released open-source. Forward-looking evaluation across additional exchanges (Kalshi via authenticated API, plus Metaculus and long-tail venues) planned with rolling collection from May 2026.

Zenodo (CERN European Organization for Nuclear Research)
Openalex Percentile: Top 3%
Sports Analytics and Performance
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Convergence-Weighted Aggregation of Cross-Exchange Prediction Markets: A Dependency-Aware Index for Combining Prices Across Kalshi, Polymarket, Manifold, Metaculus, and Long-Tail Venues — Luka Stanisljevic · Zenodo (CERN European Organization for Nuclear Research) (2026) | TGRS Research Map | TGRS