Processes with volatility‐induced stationarity: an application for interest rates
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Bibliographic record
Abstract
In this paper we propose a refinement of the existing definition of volatility‐induced stationarity that allows us to distinguish between processes with drift and diffusion induced stationarity and processes with pure volatility‐induced stationarity. We also propose a classification of stationary processes with volatility‐induced stationarity according to the volatility that is needed to inject stationarity. Processes with volatility‐induced stationarity are potentially applicable to interest rate time‐series since, as has been acknowledged, mean‐reversion effects occur mainly in periods of high volatility. As such, we provide evidence that the logarithm of the Fed funds rate can be modelled as a local martingale with volatility‐induced stationarity.
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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 | 0.000 | 0.000 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 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) | 0.000 | 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 it