AURA-PUI Methodology

Overview

AURA-PUI is a daily index of U.S. economic policy uncertainty, built from prediction market prices on Kalshi and Polymarket. It covers five policy domains: monetary, fiscal and regulatory, trade and geopolitical, macroeconomic outcomes, and sector-specific. The index aggregates uncertainty signals from active, policy-relevant contracts into a single daily headline level (base 100, inception April 20, 2024).

Inputs

AURA-PUI draws on binary and multi-outcome contracts from Kalshi and Polymarket. For each contract, the index uses the current price, recent price dynamics, traded volume, and, where available, the quoted bid-ask spread. Contracts are screened for policy relevance and assigned to one of the five domains.

Construction

For each eligible contract, AURA-PUI computes an uncertainty score. Scores are normalized across the basket and weighted to reflect contract size and quote tightness. Concentration rules cap how much any single domain or any single contract can contribute to the headline.

Downloads

For non-commercial research; institutional use under separate terms — support@aurelianhq.com.