AI 中文总结
本研究验证Polymarket预测市场交易方向，发现Lee-Ready规则在结算真值下优于tick和成交量分类，并揭示方向错误会显著扭曲交易成本测量。
AI 中文摘要
交易方向错误即使在分类准确率很高的情况下也可能改变所测量的交易成本。我们针对 Polymarket 公开交易打印记录的方向，与其每笔打印记录在链上结算中的吃单方进行验证。在 2026 年 4 月至 8 月间选定的十二天里，跨越两代交易所，92.1% 至 100.0% 的打印记录与已结算的吃单方匹配，所有 2450 万对匹配记录在方向和代币上完全一致。铸币与合并结算使得该吃单方至关重要：将做市方和吃单方合并会改变所测量的买入比例。在结算选择之前对完整缓存磁带进行方向标注，产生了 1660 万条由每个规则标注的打印记录；同日平衡准确率 Lee-Ready 为 0.942，tick 检验为 0.768，回顾性大宗成交量分类为 0.670。在 1640 万条相同的合格成交中，Lee-Ready 在等成交权重下将有效价差提高了每股 0.429 美分；其实现价差差异为 -0.209 美分。在按成交量加权下，吃单方五分钟中间价影响为 0.689 美分，而 tick 和成交量分类分别给出 -0.374 和 -0.119 美分。当剔除并列打印行时，这种总体方向反转消失。扭曲取决于误差加权的方向结果、样本选择和加权方式。接收时间排序和未观察到的未来报价年龄限制了这些已交付报价的会计量；它们不识别因果影响或私有信息。支持性场所和收集者分析提供了描述性诊断。
英文摘要
Trade-sign errors can change measured trading costs even when classification accuracy is high. We validate the side of Polymarket's public trade prints against the taker leg of each print's on-chain settlement. On twelve selected days between April and August 2026, spanning both exchange generations, 92.1% to 100.0% of prints match a settled taker leg, with exact side and token agreement on all 24.5 million matched pairs. Mint-and-merge settlement makes that taker leg essential: pooling maker and taker legs changes the measured buy share. Signing the full cached tape before settlement selection yields 16.6 million prints signed by every rule; equal-day balanced accuracy is 0.942 for Lee-Ready, 0.768 for the tick test and 0.670 for retrospective bulk volume classification. On 16.4 million identical eligible fills, Lee-Ready raises effective spread by 0.429 cents per share under equal-fill weights; its realised-spread difference is -0.209 cents. Under share-volume weights, taker five-minute midpoint impact is 0.689 cents, while tick and bulk classifications give -0.374 and -0.119 cents. That aggregate sign reversal disappears when tied print rows are excluded. Distortion depends on error-weighted signed outcomes, sample selection and weighting. Receipt-time ordering and unobserved future-quote age limit these delivered-quote accounting quantities; they do not identify causal impact or private information. Supporting venue and collector analyses provide descriptive diagnostics.
Comments41 pages, 7 figures, 17 tables. Companion to arXiv:2604.24366. Replication package: doi:10.5281/zenodo.23164515
