Portfolio Arbitrage in Prediction Markets: Empirical Analysis Based on the Polymarket Order Book

This study proposes a framework for identifying and quantifying arbitrage opportunities between logically related prediction market contracts, demonstrating that arbitrage exists when prices fall outside the convex hull of feasible return vectors, and solving for the optimal arbitrage portfolio via integer programming. The study recovered 1.9 million logical relationships through semantic analysis of platform metadata and settlement rules, constructing a constraint system covering more than 255,000 contracts.