note: Long after I posted this, PredictIt changed their policies on margin requirements in "linked markets", a small step towards market efficiency. Nevertheless, they left in place their 5% tax on withdrawals and 10% tax on gross profits, so the central argument that inefficiencies can stop even the most commonsense arbitrages from correcting out-of-line markets, remains largely true.
Political betting site PredictIt offers everyone the ability to (legally) bet (real money) on the outcome of political events. For example:
You can pay 39¢ for a Yes share in
BUSH.RNOM16, which will be worth $1 if Jeb Bush wins the Republican nomination, and $0 if he does not. Similarly, you can pay 63¢ for a No share in
BUSH.RNOM16, which will be worth $0 if he wins and $1 otherwise. (Another way to think about this is that you can sell a Yes share for 37¢ or buy one for 39¢. These numbers are different for pretty much the same reason that you can't sell your used textbooks