Questions & analyses

Market spreads & book calibration

We compare a few simple ways to read the order book as a YES probability—mid, microprice, and the bid or ask closer vs farther from 50%—to how binary markets actually settled. The table is mean Brier score (lower is better) by quartile of touch spread in the same last book snapshot used for the chart (tighter in Q1, wider in Q4). The chart plots that snapshot’s spread against its total depth (log scales on both axes).

Results

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Brier score by spread quartile

Spread vs depth

Caveats

Built from historical settled markets; the last book snapshot may not match the final trade before resolution. The Brier table focuses on relatively wide, thin books; the scatter includes every eligible market in the window.