{"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":"codex-gemma-dda1882f352a","candidate_categories":["metaresearch"],"consensus_categories":[],"category_scores_codex":[0.01869329,0.0001944546,0.0005565227,0.00167948,0.0001686226,0.00005362845,0.0009685915,0.00008044915,0.0003826155],"category_scores_gemma":[0.009320041,0.0001456219,0.0004420979,0.001927679,0.0001827471,0.0005529707,0.0001599905,0.0003899464,0.000008871747],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0003656754,"about_ca_system_score_gemma":0.0003688916,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0001898749,"about_ca_topic_score_gemma":0.0001315626,"domain_scores_codex":[0.9950518,0.0006089724,0.001816791,0.0002557954,0.001943084,0.000323533],"domain_scores_gemma":[0.996635,0.000463773,0.001604125,0.0004375956,0.0007247026,0.0001348639],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"design_other","study_design_gemma":"observational","study_design_scores_codex":[0.0003410882,0.0006072122,0.03214496,0.00001454592,0.0001399897,0.0002058539,0.001276049,0.0005833666,0.00001899755,0.007520107,0.01231278,0.9448351],"study_design_scores_gemma":[0.001700881,0.0004252654,0.853013,0.0003448743,0.0002188132,0.00007086909,0.0006291769,0.003051721,0.0001741574,0.1197104,0.0203712,0.0002895337],"study_design_candidate":"design_other","study_design_consensus":null,"genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.1608081,0.0005038609,0.6927159,0.00004558051,0.003057053,0.0004531444,0.00004354776,0.00001654281,0.1423564],"genre_scores_gemma":[0.7812666,0.0001937512,0.2182963,0.00001726757,0.0001255465,0.000006825426,2.04908e-7,0.000008600211,0.00008490689],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.9445455,"threshold_uncertainty_score":0.9990249,"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."}}