Guides / Quant Modeling

Bid-Ask Bounce and Microstructure Noise in Prediction Markets

When trades alternate between hitting the bid and lifting the ask, the last-trade price bounces even if the market's actual valuation hasn't moved — a well-known microstructure effect that can inflate realized volatility estimates if you're not separating trade price from quote midpoint.

Where the data comes from

ProbSights' API exposes both the trade tape and the orderbook (so mid-price is computable independently) across Kalshi and Polymarket, which is what a bounce-aware volatility estimate needs.

Related

• Volatility modeling in prediction markets
• Order book imbalance analytics

Related guides

• Anomaly Detection in Prediction Market Order Books
• Feature Engineering From Prediction Market Order Book Data
• Iceberg Order & Hidden Liquidity Detection in Prediction Markets
• LSTM for Prediction Market Data

Data from Kalshi and Polymarket. Search live · API docs · Pricing