Preprint
Sep 2026
Trade-Adaptive Aggregation of Probabilistic Financial Forecasts
SpanPM is introduced, a prediction-market mechanism that sets the local-curvature multiplier from each trade's realized payoff spread and preserves 96--97% of the trader surplus achieved with exact Bregman fees while cutting excess fees by 94\% relative to the global quadratic mechanism.
Yan-Kai Chen, Rassul Magauin, Bowei He et al.
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