research

Working Papers

2026

1. 

   Cross-Market Pricing in Prediction Markets: A Comparison with Derivatives

   SSRN

   with Michele Fabi, Roberto Marfè, and Lorenzo Schoenleber

   Abstract ▲

   We compare prices for 4,860 Bitcoin and Ethereum contracts on Polymarket with option-implied benchmarks from Deribit. Prices are strongly aligned, but systematic CLOB–OIP wedges remain and vary with payoff structure, contract maturity, directional demand, sentiment, announcements, volatility, and cross-market frictions. More out-of-the-money terminal claims and salient barrier states display distinctive wedge patterns, while wedges are generally larger earlier in contract life, with the clearest convergence for Reach contracts. Larger wallets allocate more notional to contracts with larger absolute wedges. A common Kou projection of Polymarket prices yields pricing distributions that broadly resemble Deribit risk-neutral distributions but place more mass outside Deribit’s central return interval. A parsimonious limits-to-arbitrage framework organizes these reduced-form patterns.

   Presentations: Decentralized Finance & Crypto Workshop at Scuola Normale Superiore (Pisa), 5th Workshop on Decentralized Finance (DeFi) in Association with Financial Cryptography 2026 (St. Kitts)^*, XXVII Workshop on Quantitative Finance (Bergamo), Tech 4 Finance #3: AI and Blockchain (Paris), Designing DeFi (D2 2026) (New York), Frontiers in DeFi 2026 (Berlin)^*, 3rd Structured Retail Products and Derivatives Conference (Hagen), Future Finance Fest (3f) (Amsterdam)^*, 8th Future of Financial Information Conference (Frankfurt), 14th International Moscow Finance Conference (Moscow)^*, 2025 Global AI Finance Research Conference (Hong Kong), DeFi Workshop 2025 (Grenoble)^*

2024

1. 

   Factor Dispersions

   SSRN

   with Daniil Gerchik, Lorenzo Schoenleber, and Grigory Vilkov

   Abstract ▲

   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.

   CBOE Research Grant

   Presentations: Second Liverpool Workshop in Option Markets (Liverpool), Second Bonn-Frankfurt-Mannheim PhD Conference (Bonn), World Federation of Exchanges Research Webinar (online)^*, Cboe Risk Management Conference 2024 (Snowbird)^*, 2024 FMA Conference on Derivatives and Volatility (Chicago)