Working Papers
2026
-
Market Efficiency in Prediction Markets: A Comparison with DerivativesAbstract ▲We study pricing efficiency in decentralized prediction markets by comparing market-implied probabilities from Polymarket with benchmarks derived from option-implied risk-neutral distributions extracted from the derivatives market. From Bitcoin and Ethereum prediction-market contracts, we find that, although Polymarket prices broadly track option-implied benchmarks, they show systematic price differences driven by behavioral factors and market frictions. Price differences are most pronounced in tail events, during periods of high volatility, and in response to major macroeconomic shocks, and they reflect the influence of sentiment, attention, and blockchain-specific risks. These results reveal both efficiency and behavioral distortions in prediction markets.
2024
-
Factor DispersionsAbstract ▲Dispersion strategies capture the difference in variance dynamics between a basket and its components. Even though smart-beta indices intend to load heavily on a particular factor, factor dispersions based on such baskets are exposed to risks of other factors and idiosyncratic variances. Analyzing factor dispersions through a linear factor model and equicorrelation representations, we recover driving forces behind dispersion dynamics and work out an attribution of a dispersion risk premium. As a balanced combination of systematic and idiosyncratic variance components, dispersion and its risk premium provide signals about future changes in systematic and alpha-based investment opportunities.
Work in Progress
2026
-
Firm-level News Networks