Information Leadership and Cryptocurrency Jumps: Evidence from Polymarket

Abstract

We study whether macropolitical risk, as revealed by information leaders in prediction markets, drives the jump dynamics of Bitcoin and Ether. We identify leading oracle contracts using directed Transfer Entropy and construct a signed INFL index from their probability revisions. We then embed the INFL index as an exogenous excitation term in Heston-SVCJ-Hawkes models and use Bayesian MCMC to estimate the coupling coefficients. We find that the INFL index accounts for most signed jump-intensity variation, while positive cross-sign couplings are consistent with a de-risking pattern in which macropolitical shocks simultaneously elevate upside and downside jump intensities.