{"id":"W2196208732","doi":"10.2139/ssrn.2698267","title":"Option Return Predictability","year":2015,"lang":"en","type":"article","venue":"SSRN Electronic Journal","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":15,"is_retracted":false,"has_abstract":false,"ca_institutions":"University of Toronto","funders":"","keywords":"Predictability; Computer science; Mathematics; 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":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.0007577509,0.0003790052,0.000510479,0.0008045071,0.0003855255,0.001755682,0.0003984721,0.0006209535,0.006727901],"category_scores_gemma":[0.007970594,0.000284503,0.0004662099,0.0006673215,0.0005723551,0.00199152,0.0008236254,0.001278493,0.0007666745],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0003781958,"about_ca_system_score_gemma":0.0003764455,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.000770208,"about_ca_topic_score_gemma":0.0004864443,"domain_scores_codex":[0.999744,0.0000373681,0.00001638829,0.00006704222,0.00008762827,0.0000475958],"domain_scores_gemma":[0.9973376,0.001295627,0.0004637181,0.0004181925,0.0003174783,0.0001673884],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.0003521756,0.0001515825,0.04262468,0.0001276461,0.0002102874,0.001360392,0.0002350735,0.2336376,0.01180804,0.567076,0.01358404,0.1288325],"study_design_scores_gemma":[0.00001295078,0.00005378926,0.01914632,0.00002137403,0.00005187901,0.0004629092,0.0000412725,0.700599,0.001969822,0.2754987,0.002099665,0.00004237934],"study_design_candidate":"simulation_or_modeling","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.7772043,0.001576054,0.1744955,0.002603772,0.0005578423,0.00002215589,0.0005432276,0.001357189,0.04164],"genre_scores_gemma":[0.9944409,0.0001991528,0.001279599,0.00004980363,0.0001116224,0.000004156306,0.0001413482,0.00006003004,0.003713364],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.006727901,"threshold_uncertainty_score":0.02250707,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.02524459524534879,"score_gpt":0.2274945843593549,"score_spread":0.2022499891140061,"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."}}