{"id":"W2891708466","doi":"10.3386/w10009","title":"Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics","year":2003,"lang":"en","type":"report","venue":"National Bureau of Economic Research","topic":"Market Dynamics and Volatility","field":"Economics, Econometrics and Finance","cited_by":26,"is_retracted":false,"has_abstract":true,"ca_institutions":"McGill University","funders":"Social Sciences and Humanities Research Council of Canada; John Simon Guggenheim Memorial Foundation; National Science Foundation","keywords":"Volatility (finance); Economics; Finance; Asset (computer security); Econometrics; Financial economics; Business; Computer science","routes":{"ca_aff":true,"ca_fund":true,"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":["metaepi_narrow"],"consensus_categories":[],"category_scores_codex":[0.01217897,0.0003049562,0.001123646,0.001073687,0.0001618153,0.00006287558,0.0003780194,0.000727453,0.0007127489],"category_scores_gemma":[0.005104722,0.0003787214,0.0002733988,0.0003150532,0.0003706925,0.0002551933,0.0002141111,0.0009015038,0.00001048429],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.002007227,"about_ca_system_score_gemma":0.001201385,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.005564181,"about_ca_topic_score_gemma":0.002744606,"domain_scores_codex":[0.9963178,0.000127643,0.001792467,0.0008901602,0.0004098275,0.0004621191],"domain_scores_gemma":[0.9959586,0.0008101409,0.001360119,0.0004933336,0.001260201,0.0001175871],"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":[0.00008616303,0.0001796072,0.4214234,0.0009679925,0.000188274,0.000002057319,0.00008628299,0.000006337973,9.106253e-7,0.5591024,0.01492866,0.003027939],"study_design_scores_gemma":[0.0004364069,0.0001377969,0.03907136,0.000122557,0.00001190796,0.00001566613,0.0000156649,0.1590872,0.000003780268,0.767755,0.03294861,0.0003940741],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"other","genre_gemma":"empirical","genre_scores_codex":[0.07159057,0.00493217,0.00009354968,0.0003472474,0.001807894,0.001221491,0.005920762,0.00001889205,0.9140674],"genre_scores_gemma":[0.9874324,0.003227093,0.0005044967,0.00001606402,0.0005337392,0.0001216697,0.001021491,0.00006149725,0.007081522],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.9158419,"threshold_uncertainty_score":0.9998665,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.5009733817554982,"score_gpt":0.4560234645928209,"score_spread":0.04494991716267732,"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."}}