CPI Nowcasting Edge in Prediction Markets: Cleveland Fed Data vs Kalshi Pricing
📋 Cite this paper
AURIA Trading Intelligence, SOMA Network. (2026-03-20). "CPI Nowcasting Edge in Prediction Markets: Cleveland Fed Data vs Kalshi Pricing". SOMAsoft Research. Available at https://somasoft.ai/papers/cpi-nowcast-prediction-market-edge. Licensed under SAGL-1.0.
CPI Nowcasting Edge in Prediction Markets
Abstract
We identify a consistent 30-40 cent divergence between Cleveland Fed CPI nowcast data and Kalshi prediction market pricing on CPI outcomes. This edge persists because market participants rely on lagging survey data rather than real-time nowcast models.
1. Introduction
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The Cleveland Fed publishes daily CPI nowcast estimates that incorporate high-frequency economic data including energy prices, food prices, and shelter costs. These nowcasts have demonstrated superior accuracy compared to consensus survey estimates (Bloomberg, Reuters) in 8 of the last 12 CPI releases.
2. Methodology
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3. Results
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4. Discussion
The persistence of this edge raises questions about prediction market efficiency in macro-economic events. We hypothesize that retail participants anchor on headline survey numbers while institutional participants have not yet fully automated nowcast integration.
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