DV-PMI · Insider screen
Private Information Index (PII)
Of 483,234 wallets tested, 6,292 were flagged at the one-percent significance threshold (flag rate 1.30%). 806 wallets survive the Holm-Bonferroni family-wise correction; 2492 survive the Benjamini-Hochberg FDR procedure. The flag rate ordering across MNPI categories — Action highest, Stochastic lowest — confirms the theoretical prediction that markets where humans can know outcomes in advance show stronger informational signatures.
Categories ordered by a priori MNPI risk: vote markets (elections, awards) are the highest-risk category because outcomes are determined by discrete human decisions; stochastic markets (crypto prices) are the lowest-risk because outcomes are aggregate and leak-resistant.
Flag rate by MNPI taxonomy
| MNPI category | Wallets tested | Flagged (p < 0.01) | Flag rate |
|---|---|---|---|
| Vote | 90,797 | 2,534 | 2.79% |
| Action | 78,548 | 755 | 0.96% |
| Performance | 157,755 | 1,598 | 1.01% |
| Stochastic | 134,972 | 1,613 | 1.20% |
By wallet class
| Wallet class | Wallets | Flagged | Flag rate |
|---|---|---|---|
| Algorithmic | 64,385 | 1,026 | 1.59% |
| Sophisticated | 64,954 | 1,353 | 2.08% |
| Active Retail | 353,895 | 3,913 | 1.11% |
Comparison with Mitts and Ofir (2026)
The concurrent paper by Mitts and Ofir uses a five-signal heuristic (cross-sectional bet size, within-trader bet size, profitability, pre-event timing, directional concentration) to flag suspicious wallet-market pairs. Applied to the same sample, their approach flags roughly 38.0% of wallets; our microstructure-grounded orthogonality test flags 1.30%. Cohen's kappa between the two flag sets is 0.007. Near-zero concordance indicates the two approaches identify different populations: ours isolates wallets with the structural signature of information (accuracy and execution coupled to a common signal); theirs isolates wallets with large, winning, concentrated bets near event resolution.
Methodology
For each wallet, excess accuracy is defined as accuracy minus max(price, 1 - price), the accuracy achievable by mechanically following the price signal. A one-sided binomial z-test at threshold z > 2.326 (p < 0.01) flags wallets whose accuracy cannot be explained by price-following alone. The theta-epsilon orthogonality violation (a positive correlation between accuracy and execution at the wallet level, not present in the population-level orthogonality established in Paper 1) distinguishes informed traders from lucky ones. MNPI-category assignment uses a rules-and-LLM pipeline validated against hand-coded markets (vote, action, performance, stochastic).
Weekly time series for PII is a future release item; it requires a separate pipeline joining the flagged wallet set with per-wallet trade timestamps across the 671M-row trade panel.
Source paper
Related surveillance indices
PII is the first of eight DV-PMI surveillance indices. The companion indices test for pre-resolution timing concentration, spread patterns in markets with flagged wallets, and the response of flagged-wallet excess accuracy to resolution surprises. See the full surveillance suite →
Data
pii_snapshot.csv · pii_latest.json
Cite this index
@misc{dellavedova2026pii,
title = {Private Information Index},
author = {Della Vedova, Joshua},
year = {2026},
url = {https://jdellavedova.com/pii}
}