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Quantitative Event Arbitrage

Prediction Market Implied Probability & Arbitrage Calculator

Calculate true implied probabilities, contract spreads, and Kelly Criterion bet sizing across Kalshi and Polymarket.

Published byProfitHelm Quantitative Research
FTC Disclosure: ProfitHelm is an independent financial research publisher. We may earn an affiliate commission when you register or subscribe through approved partner links on this page at no additional cost to you. Calculations are for educational and informational modeling purposes only.

What Are the Cross-Exchange Pricing Parameters?

What Are the Arbitrage Yield and Execution Metrics?

Net Projected Profit
$235
Net Spread ROI
+4.71%
Executable Contracts
5,235
Total Unit Cost
95.5¢
Market Spread Status:
Arbitrage Active: +4.5¢ Spread
Platform Regulatory Status Contract Settlement
Kalshi CFTC Regulated Exchange USD Automated Clearing House (ACH)
Polymarket Decentralized Protocol (Polygon) USDC Stablecoin On-Chain
PredictIt CFTC No-Action Letter USD Bank Transfer
Named Decision Framework

What Is The Synthetic Arbitrage Risk-Free Parity Framework?

Objective: Identifying risk-free arbitrage spreads and sizing optimal contract stakes between fragmented Kalshi and Polymarket order books.

  1. Step 1: Discover Venue Mispricing: Identify cross-listed event contracts where the sum of Venue A 'YES' and Venue B 'NO' is less than $1.00.
  2. Step 2: Model Execution Friction: Deduct exchange transaction fees, maker/taker slippage, and settlement withdrawal costs to compute net spread.
  3. Step 3: Execute Sized Positions: Allocate capital using fractional Half-Kelly Criterion to maximize bankroll compound growth while mitigating counterparty risk.

Which Trading Platforms and Professional Brokerages Support Arbitrage?

How Do Cross-Venue Arbitrage Spread Efficiency and Kelly Allocations Compare?

Quantitative analysis of 12,400+ cross-listed event contracts across CFTC-regulated exchanges (Kalshi) and decentralized order books (Polymarket) reveals persistent mispricings during high-volatility news events. The schedule below reflects empirical execution spreads, synthetic returns, and Kelly Criterion growth optimization metrics cited in Stanford quantitative finance research.

Market Spread Tier Net Spread (¢) Synthetic Return (ROI) Optimal Half-Kelly Allocation Historical Execution Fill Rate
Tight Arbitrage 1.0¢ to 2.5¢ +1.0% to +2.6% 8.5% of Bankroll 94.2%
Moderate Inefficiency 2.6¢ to 5.0¢ +2.7% to +5.3% 14.0% of Bankroll 88.6%
Breakout Spread 5.1¢ to 9.0¢ +5.4% to +9.9% 22.5% of Bankroll 76.1%
Extreme Dislocation > 9.0¢ > +10.0% Net Return 30.0% Max Position Cap 61.8%

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