Market microstructure

The market lab, where price forms.

Two prediction markets, Kalshi and Polymarket, recorded tick by tick through every World Cup match: full order books and every trade. The question isn't who wins, it's how the price moves, who moves first, what drives it, and whether the obvious in-play edges survive once you cross the spread. Findings reported with their sample sizes, edge or not.
Findings
Each is pooled across every captured match. Where n is small it is shown; read those as indicative. Method and citations are in the research note.
Finding 01 · cross-venue price discovery

Who discovers price first?

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Finding 02 · price-discovery share (the rigorous version)

How much of the price does Polymarket discover?

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Finding 03 · order flow → price

Order flow is the price move.

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Finding 04 · the goal-overreaction fade

The overreaction fade, tested honestly.

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Finding 05 · live model vs live market

Does the market track fair value on a goal?

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