{"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":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.002358237,0.0006461217,0.0005125502,0.0015138,0.0004894555,0.002116891,0.0003644634,0.000765071,0.003459647],"category_scores_gemma":[0.01707458,0.0004577412,0.0009570756,0.001708498,0.001034354,0.001939867,0.0005937073,0.001143694,0.000700035],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0008241597,"about_ca_system_score_gemma":0.0007691295,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.005791229,"about_ca_topic_score_gemma":0.003219964,"domain_scores_codex":[0.9989762,0.000461843,0.00004064193,0.0002267975,0.000178592,0.0001158988],"domain_scores_gemma":[0.9950795,0.003168916,0.0005025119,0.000559789,0.0005500989,0.0001392085],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"observational","study_design_scores_codex":[0.0003207441,0.0001721637,0.1585355,0.0001663299,0.0003305277,0.0005682911,0.001509986,0.1408559,0.004645069,0.5103414,0.006058263,0.1764957],"study_design_scores_gemma":[0.00004007326,0.0001205143,0.1045339,0.00009018333,0.000068393,0.0002961587,0.0002442726,0.3609276,0.0006803748,0.52927,0.003635408,0.00009309674],"study_design_candidate":"observational","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.7320415,0.001523426,0.2546532,0.001248602,0.00005419026,0.0001312595,0.001089987,0.0003288166,0.008929123],"genre_scores_gemma":[0.9842577,0.0003983169,0.01277395,0.00003672129,0.00004036273,0.00005229486,0.0006481651,0.00003134831,0.001761104],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.005791229,"threshold_uncertainty_score":0.01247174,"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."}}