ForesightFlow
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Event-Linked Perpetuals

We study the design and microstructure of perpetual-futures-style derivatives linked to prediction-market events — how leverage, funding mechanics, and resolution-aware margining interact with bounded-probability underlyings, terminal jumps at resolution, and event-driven manipulation surfaces.

What we ask

  • —How should margin, funding, and liquidation rules be redesigned when the underlying is a bounded probability with terminal collapse, rather than a continuous price process?
  • —What variant designs exist beyond the single-market binary perpetual — conditional probability, event spread, event basket, volatility/entropy, liquidity index, rolling event, funding-only — and what are their distinct design constraints?
  • —How does leverage on event-linked instruments shift the cost-benefit of real-world outcome manipulation and the rents available to informed traders, and what regulatory frameworks apply?
  • —What does the supply-side microstructure of non-retail trading on Polymarket-class venues look like under address-resolution and quote-attribution constraints?

How we approach it

  • —Engine-design framework (PIRAP) with explicit margin, funding, and resolution-zone components, evaluated via three-mode counterfactual replay on the Polymarket PMXT v2 archive
  • —Formal taxonomy of variant designs with per-variant analysis of microstructure, evaluability, and inheritance from the single-market binary case
  • —Manipulation cost-benefit theory under leverage anchored on observed engine behaviour; cross-jurisdictional regulatory synthesis (CFTC, MiCA, FCA, MAS)
  • —Behavioural clustering and microstructure-metric reproduction (Order Imbalance, VPIN, Kyle's λ, Signal Credibility Index, Information Leakage Score) on fill-side data

Prediction-market volumes have grown into the billions of dollars, but the derivative instruments built on top of them — perpetual futures on event probabilities, event-spread products, conditional perpetuals — have lagged the underlying market's growth. The reason is structural: crypto perpetual designs do not port cleanly to bounded-probability underlyings, where terminal jumps at resolution are the dominant risk rather than continuous price variation.

This track develops the empirical risk-design framework, the variant taxonomy, the manipulation and regulatory analysis, and the supply-side microstructure characterisation that together make leveraged event-linked instruments analytically tractable. The work draws on the same PMXT v2 archive used by the ForesightFlow informed-flow detection programme, but examines the supply side of microstructure rather than the demand side, and the engine-design problem rather than the detection problem.

Publications in this track

Datasets

pmxt-behavioral-clusters-v1 — PMXT Behavioral Clusters v1 — Non-Retail Polymarket Microstructure Dataset

Fill-side behavioral clusters, feature tiers, and per-market microstructure signatures from 13.36M OrderFilled events on Polymarket CTFExchange (43,116 markets, 77,203 addresses, 2026-04-21 to 2026-04-27). k-means k=5 archetypes, 6 feature tiers, Spearman bilateral analysis with BH-FDR correction. Bundle 3 of the PMXT family; companion to Paper 4 of the Event-Linked Perpetuals research programme.

pmxt-counterfactual-replay-v1 — PMXT Counterfactual Replay v1 — Engine and Resolution-Zone Protocol Comparison

Per-(engine/mechanic, leverage, class) summary statistics from two counterfactual simulation experiments on 13,000+ resolved Polymarket binary-event markets. E2 compares three margin-engine variants on survivability and drawdown; E3 compares four resolution-zone mechanics (R0–R3) on final-hour liquidation rates, bad-debt frequency, and average PnL. Bundle 2 of the PMXT family; companion to Paper 1 of the Event-Linked Perpetuals research programme.

pmxt-stylized-facts-v1 — Polymarket Stylized Facts Dataset

Per-market stylized-fact measurements (SF1–SF9) for 13,314 resolved Polymarket binary-event markets over 2026-04-21 to 2026-04-27. Empirical foundation for Paper 1 of the Event-Linked Perpetuals research programme.