{"id":"W2979334207","doi":"10.3390/jrfm12040159","title":"Generalized Mean-Reverting 4/2 Factor Model","year":2019,"lang":"en","type":"article","venue":"Journal of risk and financial management","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":9,"is_retracted":false,"has_abstract":true,"ca_institutions":"Western University","funders":"","keywords":"Factor analysis; Principal component analysis; Measure (data warehouse); Multivariate statistics; Mathematics; Econometrics; Volatility (finance); Covariance; Component (thermodynamics); Applied mathematics; Risk measure; Value at risk; Factor (programming language); Expected shortfall; Statistics; Economics; Computer science; Risk management; Financial economics; Physics","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":true,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.001436461,0.001411383,0.001510084,0.0008779843,0.0005194158,0.001868979,0.002275742,0.002025742,0.007405951],"category_scores_gemma":[0.003054403,0.0005733887,0.001829781,0.0008974014,0.001422495,0.002277932,0.001337921,0.001961308,0.001379152],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0009961752,"about_ca_system_score_gemma":0.001003572,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.00804461,"about_ca_topic_score_gemma":0.00367744,"domain_scores_codex":[0.999046,0.0003241066,0.00003551333,0.0002237184,0.0001940322,0.0001766219],"domain_scores_gemma":[0.9988362,0.000298977,0.0003220908,0.0001697526,0.000232597,0.0001404509],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"simulation_or_modeling","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.0002165607,0.00006269162,0.002078866,0.00007653658,0.0001451408,0.0007190774,0.0001958702,0.5829543,0.00388837,0.3939447,0.002890936,0.01282694],"study_design_scores_gemma":[0.0000283985,0.00005267972,0.0005156312,0.000008096396,0.00003269368,0.0001069691,0.00002100484,0.9364892,0.0002204441,0.06104857,0.001436808,0.00003959759],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":null,"genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.1134149,0.000646801,0.8651099,0.0009354454,0.0003242354,0.00007615885,0.0005445982,0.0005645228,0.01838339],"genre_scores_gemma":[0.9228396,0.0006513642,0.03736482,0.0002779665,0.0002585927,0.0001591661,0.000418445,0.0002134115,0.03781658],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.00804461,"threshold_uncertainty_score":0.02477533,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.01864081671805232,"score_gpt":0.2137281895766662,"score_spread":0.1950873728586139,"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."}}