{"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":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.001823215,0.00009103707,0.0001758078,0.00008120988,0.0001220555,0.00004434287,0.0002193582,0.00007339836,0.000009541179],"category_scores_gemma":[0.0002317988,0.0000973025,0.00007222069,0.0002121287,0.00003663265,0.000198246,0.00002767485,0.0007087321,0.0002691316],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0007690396,"about_ca_system_score_gemma":0.0005913474,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.000102613,"about_ca_topic_score_gemma":0.0001084101,"domain_scores_codex":[0.9983941,0.000004457668,0.0003881946,0.000207297,0.00004731493,0.0009586346],"domain_scores_gemma":[0.9993755,0.00001325391,0.0002398961,0.0001757721,0.00008166524,0.0001139316],"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":[0.0000151824,0.00004220185,0.003777133,0.000001867183,0.00001641116,2.021411e-7,0.00009287355,0.00001147164,0.000002760073,0.9938952,0.00005045659,0.002094188],"study_design_scores_gemma":[0.000376366,0.0001436035,0.001714951,0.000002671845,0.000004399123,0.00007708924,0.0002974317,0.0004780109,0.000003100407,0.9884884,0.008304602,0.0001093183],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.0239685,0.005159193,0.9651852,0.001043778,0.0003781643,0.0001077639,0.00001555519,0.00003369103,0.004108136],"genre_scores_gemma":[0.9978082,0.0004542718,0.0006278316,0.00006669595,0.0004036041,0.00001781192,0.000005279989,0.00001350959,0.0006028274],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.9738396,"threshold_uncertainty_score":0.3967881,"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."}}