Comment by jpmattia
1 day ago
> but i did find that politics was actually one of the most efficient categories (only ~1% maker/taker gap)
I confess I'm surprised by that result in particular. I realize your results are for Kalshi, but ISTR some reports from the presidential elections on Polymarket.
But more generally: When you say there is "only a ~1% maker/taker gap", is that weighted by the size of the bets? or is it averaged over the number of bets placed?
In any case: Thanks for a very interesting paper!
If we weight by contracts purchased the gap is 1.02%, dollar weighted the gap is 1.00%.
I'm glad you enjoyed the paper :)
[I'm still thinking about this a day later!]
I think an additional table/graph of how large-bet performance vs small-bet performance would be interesting in general, as well as broken out by market type.
It kinda answers of the question: Are large bets equal to smart money? or are they equal in "smartness" to small bets?