When Certainty Is Not Worth It: Capital Lock-Up and Settlement Discounting in Prediction Markets
当确定性不值得:预测市场中的资本锁定与结算折价
Jonas Gebele, Florian Matthes
AI总结 研究预测市场中结算延迟导致的定价效应,通过恢复隐含的结算折价期限结构并量化其影响,发现市场架构(如negRisk转换和收益型抵押品)可改变折价,表明定价质量内生于结算机制、抵押品生产率和资本回收设计。
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抵押预测市场是或有债权市场,其中经济不确定性可能在赢利债权可赎回之前消失。本文研究了这种延迟的定价效应。当抵押品在预言机结算前保持锁定时,近乎确定的美元是延迟的美元,因此价格除了包含对结果的信念外,还嵌入了依赖于期限的结算折价。我们利用已实现的结算时间从持续近乎确定的合约中恢复隐含的结算折价期限结构,并将其总结为年化结算楔差(ASW)。恢复的楔差为正、依赖于期限且随时间变化。通过这些曲线调整价格可将近乎确定的水平梯度减少约48-88%,表明原始期限模式的大部分反映了定价的结算摩擦,而不仅仅是预测误差。市场架构改变了楔差:negRisk转换通过将部分头寸回收为合成抵押品来压缩折价,而收益型抵押品通过减少锁定的机会成本来平坦化期限结构。结果表明,预测市场的定价质量内生于结算机制、抵押品生产率和资本回收设计。因此,预测市场价格通过一种金融基础设施聚合信息,该基础设施的融资条件是可测量的且经济上重要。
Collateralized prediction markets are contingent-claim markets in which economic uncertainty can disappear before winning claims become redeemable. This paper studies the pricing effect of that delay. When collateral remains locked until oracle settlement, a near-certain dollar is a delayed dollar, so prices embed a maturity-dependent settlement discount in addition to beliefs about outcomes. We recover an implied settlement-discount term structure from persistent near-certain contracts using realized settlement times and summarize it as an annualized settlement wedge (ASW). The recovered wedges are positive, maturity-dependent, and time-varying. Adjusting pricesby these curves reduces the near-certainty horizon gradient by roughly 48-88%, indicating that much of the raw maturity pattern reflects priced settlement frictions rather than forecast error alone. Market architecture changes the wedge: negRisk conversion compresses discounts by recycling part of the position into synthetic collateral, while yield-bearing collateral flattens the term structure by reducing the opportunity cost of lock-up. The results show that pricing quality in prediction markets is endogenous to settlement mechanics, collateral productivity, and capital-recycling design. Prediction-market prices therefore aggregate information through a financial infrastructure whose funding conditions are measurable and economically important.