{"id":"W3121772224","doi":"","title":"The Factor Structure in Equity Options","year":2013,"lang":"en","type":"preprint","venue":"RePEc: Research Papers in Economics","topic":"Capital Investment and Risk Analysis","field":"Economics, Econometrics and Finance","cited_by":9,"is_retracted":false,"has_abstract":true,"ca_institutions":"HEC Montréal; University of Toronto","funders":"","keywords":"Econometrics; Volatility (finance); Economics; Equity (law); Principal component analysis; Implied volatility; Valuation of options; Factor analysis; Financial economics; Skew; Equity risk; Index (typography); Valuation (finance); Mathematics; Statistics; Finance; Computer science","routes":{"ca_aff":true,"ca_fund":false,"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":[0.001429479,0.0003309022,0.0007463568,0.0008902572,0.0002855354,0.0005993065,0.001213195,0.0005536003,0.0007941253],"category_scores_gemma":[0.0003747838,0.0003055157,0.000324975,0.0002792952,0.0003885686,0.0001834044,0.001831069,0.002111419,0.0001849854],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00146034,"about_ca_system_score_gemma":0.0001752722,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.001373512,"about_ca_topic_score_gemma":0.005218446,"domain_scores_codex":[0.9966498,0.0001105869,0.001216769,0.0009924946,0.00009283396,0.0009375138],"domain_scores_gemma":[0.9977126,0.0003801202,0.0004021914,0.001273622,0.00005675713,0.0001746845],"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":[0.00006180566,0.000360539,0.1045167,0.0001943471,0.0005415487,0.00002424329,0.001557993,0.01970581,0.00005668227,0.7917553,0.0007914738,0.08043353],"study_design_scores_gemma":[0.0008088237,0.00006960958,0.1199154,0.00009907054,0.00000905458,0.000002830986,0.0006799499,0.06963052,0.00003841516,0.7446546,0.06305322,0.001038471],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9363341,0.0103788,0.000001271983,0.001275283,0.0008183392,0.0009466328,0.0006745537,0.00002736438,0.04954363],"genre_scores_gemma":[0.8762058,0.1174598,0.0001533096,0.00006434719,0.0002132267,0.0002246189,0.0001032402,0.00005209332,0.005523555],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.107081,"threshold_uncertainty_score":0.9999397,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.07040871867901945,"score_gpt":0.3235388397233557,"score_spread":0.2531301210443363,"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."}}