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?
Finding 02 · price-discovery share (the rigorous version)
How much of the price does Polymarket discover?
Finding 03 · order flow → price
Order flow is the price move.
Finding 04 · the goal-overreaction fade
The overreaction fade, tested honestly.
Finding 05 · live model vs live market
Does the market track fair value on a goal?