{"id":"W4306659359","doi":"10.3390/jrfm15100470","title":"Stochastic Conditional Duration Model with Intraday Seasonality and Limit Order Book Information","year":2022,"lang":"en","type":"article","venue":"Journal of risk and financial management","topic":"Financial Risk and Volatility Modeling","field":"Economics, Econometrics and Finance","cited_by":4,"is_retracted":false,"has_abstract":true,"ca_institutions":"","funders":"Japan Society for the Promotion of Science","keywords":"Gibbs sampling; Markov chain Monte Carlo; Econometrics; Seasonality; Monte Carlo method; Order (exchange); Metropolis–Hastings algorithm; Statistics; Mathematics; Computer science; Economics; Bayesian probability; Finance","routes":{"ca_aff":false,"ca_fund":false,"ca_venue":true,"about_ca":false,"invisible_to_affiliation_only":true},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.0007375143,0.0001033773,0.0002337176,0.00017082,0.0003476158,0.00006025101,0.00007632971,0.00003119532,0.00003623847],"category_scores_gemma":[0.0000777466,0.0001054676,0.00003975543,0.0001565499,0.00004157726,0.0006828676,0.00007835573,0.0002467168,0.000002490869],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00007916067,"about_ca_system_score_gemma":0.00003932652,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.000027113,"about_ca_topic_score_gemma":0.000008893937,"domain_scores_codex":[0.9990323,0.0000169364,0.0005764629,0.0001272615,0.0001143095,0.0001327907],"domain_scores_gemma":[0.9991823,0.00002682949,0.0005821943,0.00007679155,0.00007503577,0.00005682792],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.0009635263,0.0002159272,0.02289469,0.0001210144,0.00007436221,0.00001453803,0.00341048,0.2466675,9.108254e-7,0.6728883,0.002175976,0.05057273],"study_design_scores_gemma":[0.003304593,0.0006682319,0.1956703,0.00004094495,0.00010143,0.00005844047,0.0005851425,0.4539864,0.000001513031,0.2566772,0.08843889,0.0004669338],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":null,"genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.2630033,0.001208975,0.7347653,0.0002950405,0.0001099065,0.0001539828,0.000165716,0.00000575591,0.0002920637],"genre_scores_gemma":[0.9948575,0.0008117445,0.003838107,0.0003339148,0.0000603653,0.00001414036,0.00001796502,0.000006148928,0.00006006611],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.7318543,"threshold_uncertainty_score":0.4300842,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.01066666300843964,"score_gpt":0.1831082578162297,"score_spread":0.17244159480779,"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."}}