Time-Deformation Modeling of Stock Returns Directed by Duration Processes
Bibliographic record
Abstract
This paper proposes a new time-deformation model for stock returns sampled in transaction time and directed by a generalized duration process. Stochastic volatility in this model is driven by an observed duration process and a latent autoregressive process. Parameter estimation in the model is carried out by using a method of simulated moments (MSM) due to its analytical tractability and numerical stability for the proposed model. Simulations are conducted to validate the choice of moments used in the formulation of MSM. Both simulation and empirical results indicate that the proposed MSM works well for the model. The main empirical findings from the analysis of IBM transaction return data include: (i) the return distribution conditional on the duration process is not Gaussian, even though the duration process itself can marginally serve as a directing process; (ii) the return process is highly leveraged; (iii) longer trade duration tends to be associated with higher return volatility; and (iv) the proposed model is capable of reproducing a return process whose marginal density function is close to that of the empirical return process.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.002 | 0.004 |
| Meta-epidemiology (narrow) | 0.001 | 0.000 |
| Meta-epidemiology (broad) | 0.001 | 0.001 |
| Bibliometrics | 0.001 | 0.001 |
| Science and technology studies | 0.000 | 0.001 |
| Scholarly communication | 0.001 | 0.002 |
| Open science | 0.002 | 0.001 |
| Research integrity | 0.001 | 0.001 |
| Insufficient payload (model declined to judge) | 0.001 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".