{"id":"W3011793132","doi":"10.3390/risks8010028","title":"General Compound Hawkes Processes in Limit Order Books","year":2020,"lang":"en","type":"article","venue":"Risks","topic":"Point processes and geometric inequalities","field":"Mathematics","cited_by":23,"is_retracted":false,"has_abstract":true,"ca_institutions":"University of Calgary","funders":"Natural Sciences and Engineering Research Council of Canada","keywords":"Volatility (finance); Limit (mathematics); Order (exchange); Mathematical economics; Econometrics; Central limit theorem; Order book; Computer science; Mathematics; Economics; Statistics; Mathematical analysis","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":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.0009544661,0.0004183268,0.0006095067,0.001022905,0.0006987003,0.001384638,0.0008633223,0.0007848585,0.003232747],"category_scores_gemma":[0.003433455,0.0002972381,0.0008376265,0.0005393901,0.001866712,0.003498184,0.0007709471,0.001182656,0.0002643457],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.000820952,"about_ca_system_score_gemma":0.00052055,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0008986532,"about_ca_topic_score_gemma":0.0006461445,"domain_scores_codex":[0.9997323,0.00004682068,0.00001772448,0.00007166697,0.00009141525,0.0000399951],"domain_scores_gemma":[0.9986155,0.0006693899,0.0002321961,0.0001363326,0.0001996262,0.0001468819],"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":[0.00002188352,0.00002037447,0.001026968,0.00004384969,0.00001617682,0.0002255697,0.000134873,0.01962826,0.002577336,0.9729633,0.0003590494,0.002982361],"study_design_scores_gemma":[0.00002543388,0.00004694418,0.001197982,0.00001843895,0.00001531456,0.0003584692,0.00009179634,0.2054502,0.002295123,0.7881791,0.002288679,0.00003255622],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.5224077,0.001282662,0.4503881,0.0004401331,0.0001204125,0.00008914863,0.0001452057,0.0001787969,0.02494792],"genre_scores_gemma":[0.9523971,0.0007018963,0.03552099,0.0001319121,0.0001358067,0.00007982961,0.0001198905,0.0000429955,0.01086954],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.003232747,"threshold_uncertainty_score":0.01081461,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.2138199656307371,"score_gpt":0.3656222762510252,"score_spread":0.151802310620288,"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."}}