{"id":"W1970058257","doi":"10.1287/moor.1040.0096","title":"Arbitrage in a Discrete Version of the Wick-Fractional Black-Scholes Market","year":2004,"lang":"en","type":"article","venue":"Mathematics of Operations Research","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":28,"is_retracted":false,"has_abstract":true,"ca_institutions":"University of Calgary","funders":"","keywords":"Mathematics; Arbitrage; Fractional Brownian motion; Black–Scholes model; Hurst exponent; Mathematical economics; Class (philosophy); Applied mathematics; Brownian motion; Econometrics; Finance; Economics; Volatility (finance); Computer science; Statistics","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.0008021244,0.00006015524,0.0001786541,0.0002187571,0.0001396544,0.00002704919,0.0003194656,0.00005409001,0.0001434897],"category_scores_gemma":[0.0006014386,0.00005248288,0.000059567,0.000683039,0.0002302532,0.0001247941,0.0001048932,0.0002346836,0.00006520098],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00007537664,"about_ca_system_score_gemma":0.0001165211,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0004195569,"about_ca_topic_score_gemma":0.000151437,"domain_scores_codex":[0.9990898,0.000007225526,0.000480566,0.0001508349,0.0001233125,0.0001482714],"domain_scores_gemma":[0.9993203,0.0001040402,0.00008171096,0.0003264738,0.0001414038,0.0000260599],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.000005689601,0.0002438948,0.0002919319,0.00007389479,0.000007158641,2.18426e-7,0.0007070885,0.00313385,0.0003573883,0.99509,0.00007171853,0.00001714228],"study_design_scores_gemma":[0.0006776552,0.00005898245,0.0135503,0.0001652544,0.000003476512,0.000003119617,0.000774763,0.0240874,0.001678401,0.9582482,0.000631823,0.0001206166],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.6212916,0.0002796604,0.3356279,0.003500084,0.00006877624,0.0008684269,0.0003458491,0.000009096567,0.03800868],"genre_scores_gemma":[0.9900053,0.00003349976,0.009423889,0.000009757019,0.0000188283,0.00006104833,0.00000527857,0.000008898496,0.0004335353],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.3687137,"threshold_uncertainty_score":0.214019,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.05043644441289889,"score_gpt":0.3133080381157297,"score_spread":0.2628715937028308,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}