Library/Miscalibration Without Tradable Alpha: Displayed Prices, Actionable Quotes, and Fees in a Regulated Prediction Market
MicrostructureResearch Paper

Miscalibration Without Tradable Alpha: Displayed Prices, Actionable Quotes, and Fees in a Regulated Prediction Market

Lawton Swan·October 16, 2026·Academic Paper
“a displayed probability is a forecast; an actionable quote is an offer”

Why It's Worth Reading

Kalshi prices are read as forecasts, but calibration and tradability are different estimands. Joining 937 live snapshots to resolutions and 57,808 markets rebuilt from order-book candles, midpoints look nearly perfectly calibrated, yet a 1.98 point gap is statistically real and economically uncapturable. Under standard fees all 20 bucket-direction intervals run below zero, and expectancy stays negative even at zero fees. A displayed probability is a forecast; an actionable quote is an offer.

Extensive technical background assumed

Concepts

Platforms mentioned: Kalshi

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