Throughout the summer, I'll be posting research notes, findings, dead ends, open questions, and the actual process. If you work in market microstructure, prediction markets, or quantitative finance and have thoughts, I'd genuinely like to hear them.
This summer I'm researching prediction market microstructure. Specifically: what drives bid-ask spreads on platforms like Polymarket and Kalshi, and what those spreads reveal about how liquidity is supplied in these markets.
I've been collecting large-scale L2 order book data: full depth snapshots, quote updates, trade records, and on-chain fill data with maker/taker attribution. The dataset is the foundation for everything I'll be exploring this summer.