STATISTICAL REVISIT TO THE MIKE-FARMER MODEL: CAN THIS MODEL CAPTURE THE STYLIZED FACTS IN REAL WORLD MARKETS?
Why this work is in the frame
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Bibliographic record
Abstract
According to current literature, the Mike-Farmer (MF) model 1 is constructed empirically based on the continuous double auction mechanism in an order-driven market, which can successfully capture the diffusive behavior of stock prices at the transaction level. In our paper, we revisit the statistical properties of the generated series of prices based on the MF model to clarify whether it can reproduce the stylized facts in real world markets. However, the Detrended Fluctuation Analysis (DFA) scaling exponent of volatility H v ≈ 0.6, which may be slightly lower than that in real markets; while a modified version of the MF model proposed by Gu and Zhou 2 can improve the DFA scaling exponent of volatility H v ≈ 0.75, which is closer to the empirical findings. Finally, we test the existence of another commonly found two stylized facts in the real world: the volatility clustering, and leverage effect.
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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 | 0.001 | 0.000 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.001 | 0.000 |
| Bibliometrics | 0.000 | 0.000 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.005 | 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