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% METADATA — Edit these fields for each working paper
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\newcommand{\WPnumber}{8}
\newcommand{\WPtitle}{Prediction Markets as Arrow--Debreu Securities: Evidence from Polymarket}
\newcommand{\WPsubtitle}{State Prices, No-Arbitrage Bounds and Macroeconomic News in Blockchain-Based Contingent Claims}
\newcommand{\WPdate}{October 2026}
\newcommand{\WPversion}{1.1}
\newcommand{\WPabstract}{%
  Negative-risk events on Polymarket list one binary contract for every
  outcome of a decision and settle exactly one of them at one dollar, so
  that their prices are observable analogues of Arrow--Debreu state prices.
  We use the five-outcome market on the June 2026 FOMC decision (146 daily
  closes, December 2025 to May 2026) and the seventeen-contract market on
  the 2024 U.S.\ presidential election (304 daily closes) to ask how the
  Arrow--Debreu pricing restrictions fare in a blockchain market. Because
  spanning is built into the contract design, the testable content is the
  law of one price for the complete set of claims, whose executable
  no-arbitrage bounds we derive from the platform's minting and conversion
  mechanics. The sum of state prices averages 1.017 (Fed) and 1.015
  (election); the overround is statistically positive but of the order of
  the quoted half-spreads of the low-priced legs, declines steadily towards
  resolution, reverts within two days, and is bracketed by the bid- and
  ask-side sums of the order book. It has the wrong sign to be explained by
  the time value of money, which places the complete set below one. The
  normalised prices define a risk-neutral distribution over the FOMC
  decision whose mean---a Polymarket analogue of the futures-implied
  expected policy change---moves two to five times more, in variance terms,
  on FOMC and employment-report days than on other days, while weekend
  trading carries about one third of weekday variance. Once Polymarket
  closes are aligned to the U.S.\ trading calendar and lag orders are chosen
  by information criteria, daily changes in this measure neither lead nor
  lag the ten-year Treasury yield, the S\&P~500, the VIX or Bitcoin. We
  document how a one-day misalignment of blockchain time stamps and a
  minimum-$p$ lag search generated spurious lead--lag findings in an earlier
  version.%
}
\newcommand{\WPkeywords}{prediction markets, Arrow--Debreu securities, state prices, law of one price, monetary policy expectations, macroeconomic announcements, Polymarket}
\newcommand{\WPjel}{G13, G14, E52, D47, C58}

% --- Author ---
\newcommand{\WPauthor}{Simon-Pierre Boucher}
\newcommand{\WPaffiliation}{%
  Département des sciences administratives\\
  Université du Québec en Outaouais%
}
\newcommand{\WPemail}{simon-pierre.boucher@uqo.ca}
\newcommand{\WPaddress}{%
  Gatineau -- Pavillon Alexandre-Taché\\
  283, boulevard Alexandre-Taché\\
  Gatineau, Québec, Canada J9A 1L8%
}

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\begin{document}

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\input{sections/literature}
\input{sections/theoretical}
\input{sections/data}
\input{sections/methodology}
\input{sections/results}
\input{sections/robustness}
\input{sections/conclusion}

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