预测市场中的热门-冷门偏差：来自Polymarket的证据

中文摘要 AI 辅助

热门-冷门偏差（FLB）是博彩市场中最持久的收益模式之一，但其在现代预测市场中的普遍性及其与反复出现的冷门需求之间的关系仍不清楚。我们利用Polymarket（一个规模庞大且日益重要的预测市场）的数据研究这些问题，该数据集包含248万个账户的5.88亿笔交易。在观察到的交易流中，低于10美分的购买每美元损失19.3美分，而等于或高于90美分的购买每美元盈利0.83美分。合约的分组方式会改变结果：当每个合约被等权加权时，冷门合约每美元损失6.3美分，但当相关合约首先按父事件分组时，冷门合约每美元盈利4.1美分；这种双边模式在加密货币和政治类别中稳健存在，但在体育类别中却出人意料地缺失。过去购买冷门合约倾向最强的账户中排名前十分之一的账户，占下月低价购买的26.6%，但其收益与其他账户相似。过去购买热门合约倾向最强的账户中排名前十分之一的账户，占下月高价购买的15.1%，但其收益低于其他账户。这些发现提供了Polymarket上存在总体FLB的证据，但其幅度取决于合约的分组方式。

英文摘要

The favorite--longshot bias (FLB) is one of the most persistent return patterns in betting markets, but its prevalence in modern prediction markets and its relation to recurrent longshot demand remain unclear. We study these questions in Polymarket, a large and increasingly important prediction market, using 588 million trades by 2.48 million accounts. In observed transaction flows, purchases below 10 cents lose 19.3 cents per dollar, while purchases at or above 90 cents earn 0.83 cents. How contracts are grouped changes the result: longshots lose 6.3 cents per dollar when each contract is weighted equally but gain 4.1 cents when related contracts are first grouped by parent event; the two-sided pattern is robust in Crypto and Politics but surprisingly absent in Sports. The top decile of accounts with the strongest past tendency to buy longshots accounts for 26.6 percent of next-month low-price purchases, but earns similar returns to others. The top decile of accounts with the strongest past tendency to buy favorites accounts for 15.1 percent of next-month high-price purchases but earns less than others. These findings provide evidence of an aggregate FLB on Polymarket, but its magnitude depends on how contracts are grouped.

发表机构

• Universidad Católica del Uruguay（乌拉圭天主教大学）

机构由 AI 辅助整理，请以论文原文为准。