Forecasting Initial Jobless Claims

[WITH CODE] Stepping into prediction markets with quantitative insights

Hello!

Due to my occupation, I am limited in my ability to trade in the financial markets. However, the rise of prediction markets has captured my interest over the past 18 months, and I have had a strong desire to build a systematic edge in these markets.

These markets are relatively illiquid, which may create more opportunities than in large, efficient markets. The academic literature finds persistent pockets of inefficiency in finance, so it is reasonable to expect even more in thinner prediction venues.

In this post I’m starting a series on trading prediction markets with you. Today, we will be investigating a specific market: Kalshi’s contracts on weekly initial jobless claims.

I will be showcasing academic research on forecasting initial jobless claims, my own model, and the forecasts for this Thursday’s Kalshi market. The code has been emailed to paid subscribers.

As always, this is for educational purposes only and not financial advice. Let’s get into it.