{"id":"W2613653781","doi":"10.69554/dkwi2810","title":"Market impact measurement of a VWAP trading algorithm","year":2011,"lang":"en","type":"article","venue":"Journal of risk management in financial institutions","topic":"Stock Market Forecasting Methods","field":"Decision Sciences","cited_by":9,"is_retracted":false,"has_abstract":true,"ca_institutions":"","funders":"","keywords":"Volume-weighted average price; Algorithmic trading; Computer science; Algorithm; Econometrics; Financial economics; Business; Economics; Stock market; Geology","routes":{"ca_aff":false,"ca_fund":false,"ca_venue":false,"about_ca":true,"invisible_to_affiliation_only":true},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.002911814,0.0005705074,0.000703956,0.001108021,0.0002514696,0.001376557,0.001252145,0.0008071605,0.001233406],"category_scores_gemma":[0.01335037,0.0003071571,0.0005674504,0.0009026221,0.0007482921,0.002020021,0.0008218595,0.0009815267,0.0002594519],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0007674818,"about_ca_system_score_gemma":0.0005709327,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.00124973,"about_ca_topic_score_gemma":0.0005196455,"domain_scores_codex":[0.9979872,0.0005694547,0.0001251764,0.0002549309,0.0009303818,0.0001329925],"domain_scores_gemma":[0.9951101,0.003127842,0.0005232114,0.0006163649,0.0005276566,0.00009483088],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"simulation_or_modeling","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.0002076109,0.0001141328,0.004515142,0.00004499958,0.00004753824,0.00007428629,0.00006541185,0.9266874,0.005474598,0.01378308,0.0001936513,0.04879207],"study_design_scores_gemma":[0.000002886598,0.00003363396,0.0005620033,0.000001703362,0.000003421068,0.0000148265,0.000003319625,0.9966546,0.0008855805,0.001748855,0.0000855391,0.000003576779],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.2058986,0.0001501996,0.7905467,0.00008647286,0.0000191604,0.00009068503,0.00005250009,0.0004301356,0.002725555],"genre_scores_gemma":[0.8965877,0.00009486202,0.1022775,0.0000257341,0.00001929405,0.00009285776,0.0001388494,0.00005786784,0.0007051652],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.002911814,"threshold_uncertainty_score":0.01539934,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.2468847443108331,"score_gpt":0.4046029456372628,"score_spread":0.1577182013264297,"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."}}