{"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":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.000152731,0.0001453535,0.0002668574,0.00009802735,0.00005479388,0.00006605995,0.0001863722,0.00007053756,0.0001537406],"category_scores_gemma":[0.001527911,0.0001250392,0.00003410377,0.0006955531,0.00003446496,0.0001330479,0.00006886807,0.0001697405,0.00005252128],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00001946839,"about_ca_system_score_gemma":0.0001148865,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0001604142,"about_ca_topic_score_gemma":0.0001272659,"domain_scores_codex":[0.9989748,0.0000299727,0.0003070197,0.0002108859,0.0002108301,0.0002664996],"domain_scores_gemma":[0.9992496,0.000306457,0.00009092686,0.0001293656,0.0001443913,0.0000792356],"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":[0.0007997468,0.002304096,0.07556262,0.02764216,0.0005922835,0.0006967401,0.09272889,0.001199893,0.001098965,0.5908359,0.1695181,0.03702055],"study_design_scores_gemma":[0.005218052,0.0009608649,0.004431271,0.0005436807,0.0001952661,0.00006595477,0.007384403,0.008124791,0.01712747,0.6104892,0.3429968,0.002462192],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.964489,0.001592829,0.00473386,0.002584718,0.0001027981,0.0002788439,0.00003017841,0.0002037027,0.02598412],"genre_scores_gemma":[0.9898611,0.0001423673,0.006904365,0.001065814,0.0002822309,0.00002602694,0.000007858351,0.00002828513,0.001681968],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.1734786,"threshold_uncertainty_score":0.509895,"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."}}