Time-Deformation Modeling of Stock Returns Directed by Duration Processes
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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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Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.002 | 0.003 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.001 | 0.000 |
| Bibliometrics | 0.001 | 0.001 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.001 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.001 |
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 it