{"id":"W2790664660","doi":"","title":"An Algorithm Exploiting Episodes of Inefficient Asset Pricing to Derive a Macro-Foundation Scaled Metric for Systemic Risk: A Time-Series Martingale Representation","year":2018,"lang":"en","type":"article","venue":"Journal of Applied Finance and Banking","topic":"Complex Systems and Time Series Analysis","field":"Economics, Econometrics and Finance","cited_by":0,"is_retracted":false,"has_abstract":true,"ca_institutions":"","funders":"","keywords":"Systemic risk; Economics; Financial crisis; Econometrics; Capital asset pricing model; Finance; Computer science; Financial economics","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":[],"consensus_categories":[],"category_scores_codex":[0.001319237,0.0001312418,0.0006030911,0.0005229852,0.0002537662,0.00011221,0.000141632,0.00005462286,0.00003414712],"category_scores_gemma":[0.0001157426,0.000134097,0.0001156342,0.0007090218,0.00004623249,0.0003529363,0.00003732252,0.00008795308,0.000009354662],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00007961511,"about_ca_system_score_gemma":0.00002040197,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0000952811,"about_ca_topic_score_gemma":0.00001022443,"domain_scores_codex":[0.9982682,0.00001775019,0.001154875,0.0002687049,0.00008379506,0.0002066229],"domain_scores_gemma":[0.9973319,0.00009923839,0.002090245,0.0001759793,0.0002577634,0.00004493737],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"design_other","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.002131369,0.0007072827,0.09555545,0.001092665,0.001288488,0.00001884224,0.03176013,0.02917436,0.04867923,0.07801299,0.0007534022,0.7108258],"study_design_scores_gemma":[0.008782985,0.007164659,0.136754,0.002539739,0.000725754,0.0005069409,0.01669514,0.6900309,0.06047644,0.05288005,0.0207319,0.002711495],"study_design_candidate":"simulation_or_modeling","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.7015094,0.0002609727,0.2975197,0.00003814602,0.00007281287,0.000232845,0.00001923035,0.000007580004,0.0003392934],"genre_scores_gemma":[0.9522849,0.00009872812,0.04721519,0.0000209202,0.0002900736,0.00001844663,0.000006617028,0.00001727305,0.00004787713],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.7081143,"threshold_uncertainty_score":0.5468317,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.01643636911132808,"score_gpt":0.2456036013000596,"score_spread":0.2291672321887315,"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."}}