{"id":"W2131032148","doi":"10.2307/3315950","title":"Highs and lows: Some properties of the extremes of a diffusion and applications in finance","year":2002,"lang":"en","type":"article","venue":"Canadian Journal of Statistics","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":12,"is_retracted":false,"has_abstract":true,"ca_institutions":"Actua; University of Waterloo","funders":"Natural Sciences and Engineering Research Council of Canada","keywords":"Volatility (finance); Geometric Brownian motion; Economics; Econometrics; Currency; Brownian motion; Financial economics; Diffusion; Stochastic volatility; Implied volatility; Diffusion process; Monetary economics; Mathematics; Statistics; Economy","routes":{"ca_aff":true,"ca_fund":true,"ca_venue":true,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.005871328,0.0005227134,0.00117193,0.003682608,0.001387139,0.003152777,0.001516752,0.001548409,0.005491272],"category_scores_gemma":[0.03464768,0.0005340048,0.001361463,0.001863509,0.005120167,0.005081802,0.003424738,0.003152124,0.000421182],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001283502,"about_ca_system_score_gemma":0.0005266307,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.001552386,"about_ca_topic_score_gemma":0.0006888788,"domain_scores_codex":[0.9981938,0.0006384861,0.0001072463,0.0004008424,0.0004171498,0.0002425137],"domain_scores_gemma":[0.9767361,0.01555391,0.002378131,0.001096232,0.002031396,0.002204384],"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":[0.00007261671,0.00003152382,0.003924929,0.00003428143,0.00003214299,0.0002278642,0.0004055731,0.007827146,0.001435281,0.9758127,0.001214659,0.008981247],"study_design_scores_gemma":[0.00002477372,0.00003987573,0.002170021,0.00002874835,0.00001461913,0.0002935916,0.0001604199,0.0934095,0.0003754204,0.9016765,0.001766421,0.00004007305],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.4382527,0.002533855,0.5224538,0.004394239,0.000294038,0.0001224612,0.0004162618,0.000444719,0.0310879],"genre_scores_gemma":[0.9681603,0.0005262403,0.02590715,0.0002853728,0.0004411298,0.0001014991,0.0001750539,0.00007563372,0.00432765],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.005871328,"threshold_uncertainty_score":0.03105092,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.02863084842706851,"score_gpt":0.1709761428188248,"score_spread":0.1423452943917563,"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."}}