{"id":"W4390481812","doi":"10.1109/ssci52147.2023.10371830","title":"Stock Volatility Forecasting with Transformer Network","year":2023,"lang":"en","type":"article","venue":"","topic":"Stock Market Forecasting Methods","field":"Decision Sciences","cited_by":1,"is_retracted":false,"has_abstract":true,"ca_institutions":"University of Manitoba","funders":"","keywords":"Computer science; Volatility (finance); Artificial intelligence; Artificial neural network; Deep learning; Transformer; Architecture; Financial market; Machine learning; Econometrics; Finance; Economics; Engineering","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":[0.0004451923,0.0004608373,0.0004267514,0.0006334963,0.0001669655,0.0005220053,0.0005338788,0.0003816154,0.001241048],"category_scores_gemma":[0.001083509,0.0002477804,0.0003754901,0.0006067536,0.00015263,0.001001593,0.0003896893,0.0005700809,0.0002116293],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0007725073,"about_ca_system_score_gemma":0.0005443695,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.01479868,"about_ca_topic_score_gemma":0.01099307,"domain_scores_codex":[0.9998862,0.00002340116,0.000008707626,0.00002918185,0.00003002202,0.00002252974],"domain_scores_gemma":[0.9997286,0.0001174511,0.00002769669,0.00001783241,0.00009396094,0.00001446477],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"simulation_or_modeling","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.000300779,0.0000951552,0.004258692,0.00004424368,0.0000652179,0.00009154163,0.00002906917,0.8279521,0.004609117,0.002554016,0.001767589,0.1582325],"study_design_scores_gemma":[0.000001673056,0.000005546955,0.0001423912,6.187553e-7,0.000002501897,0.000002712361,0.000001195663,0.9991622,0.0003354791,0.0003044476,0.00004013739,0.000001218816],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.5140687,0.001263167,0.471294,0.0006848795,0.0001984298,0.00008138569,0.0006764971,0.002457123,0.009275757],"genre_scores_gemma":[0.9821276,0.0002012517,0.01618501,0.00004490071,0.00001800467,0.00001522509,0.0002942178,0.00001272747,0.001101121],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.01479868,"threshold_uncertainty_score":0.02942508,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.2701601729196196,"score_gpt":0.4135753645120289,"score_spread":0.1434151915924093,"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."}}