What Prediction Markets Got Right (and Wrong) During the Final Four
Tracks Kalshi and Polymarket tick by tick through the Illinois–UConn Final Four semifinal and asks whether the paper's pricing wedge shows up inside a single game. It does once extreme probabilities are filtered out, while the two venues drift up to 25 points apart during fast-moving play.
A collector polled the Kalshi and Polymarket game-winner contracts every 15–30 seconds through the April 4, 2026 semifinal (657 and 857 observations), alongside ESPN play-by-play for a score-based benchmark. Both venues opened Illinois near 55% and diverged by up to 25 percentage points in fast-moving stretches, with Polymarket consistently pricing Illinois higher. A naive tick-level Wang-transform estimate comes out three times too large — an artifact of the probit transform's slope near 0 and 1. Restricted to the competitive range, the intra-game wedge is about 0.13 on both venues, in line with the paper's cross-sectional estimate. Against ESPN's in-game model, Kalshi's residual was indistinguishable from zero while Polymarket's was small but significant. One game, but the methodological lesson generalizes: intra-game wedge estimates must filter extreme probabilities.
