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Record W2935767215

Non-stationarity as a central aspect of financial markets

2014· dissertation· en· W2935767215 on OpenAlexfundno aff
Thilo A. Schmitt

Bibliographic record

VenueDuEPublico (University of Duisburg-Essen) · 2014
Typedissertation
Languageen
FieldEconomics, Econometrics and Finance
TopicComplex Systems and Time Series Analysis
Canadian institutionsnot available
FundersU.S. Naval AcademyInstitute of Molecular and Cell BiologyAustralian School of Taxation, University of New South WalesScience and Technology Facilities CouncilUniversity of Tennessee Space InstituteHumanities Research Center, Rice UniversityPartenariat Canadien Contre Le CancerChina Aerospace Science and Technology CorporationEuropean Maritime and Fisheries FundChinese Society of Clinical OncologyNational Academy of Sciences of BelarusFinancial Markets Foundation for ChildrenChina Scholarship CouncilMaterials and Energy Research CenterThailand Science Research and InnovationIndustrial Technology Research InstituteNational Cancer InstituteNuclear Safety and Security CommissionGeneralitat ValencianaTeva Pharmaceutical IndustriesKing Saud UniversityNational Ethnic Affairs Commission of the People's Republic of ChinaBanco Bilbao Vizcaya ArgentariaNational Science CouncilUniversidade Federal do PiauíInfectious Diseases Society of AmericaBiogen IdecInternational Social Science CouncilCoastal Response Research Center, University of New HampshireSarepta TherapeuticsDepartment of Science and Technology, Ministry of Science and Technology, IndiaRoberts Enterprise Development FundCouncil for British Research in the LevantMKS InstrumentsGlobal Foundation for Eating DisordersDivision of ChemistryQuillen College of Medicine, East Tennessee State UniversityNorthwest Scientific AssociationCERNInstitute for Catastrophic Loss ReductionUniversity of PennsylvaniaScience Foundation IrelandAgence Nationale de la RechercheOracleCenter for Construction Research and TrainingAdobe SystemsHeckscher Foundation for Children
KeywordsEconometricsEstimatorQuantileCovariance matrixPortfolio optimizationAutocorrelationCovarianceLeverage (statistics)PortfolioFinancial econometricsSeries (stratigraphy)MathematicsFinanceFinancial marketComputer scienceStatisticsEconomics
DOInot available

Abstract

fetched live from OpenAlex

The letter introduces the correlation-averaged multivariate normal distribution, which is the starting point for further studies [2,3, 5].Under supervision of R. Schfer and T. Guhr and in collaboration with D. Chetalova, I calculated this distribution analytically for the general case.In addition I contributed the data analysis.The text was mainly written by T. Guhr with contributions from D. Chetalova, R. Schfer and me.I want to express my gratitude to my supervisor Thomas Guhr for creating an outstanding environment to conduct research in the interdisciplinary field of econophysics.His support and guidance broadened my knowledge in physics and economics.My appreciation also goes to my second advisor Rudi Schfer for his unbroken persistence

Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.

How this classification was reachedexpand

Full frame distilled prediction

Teacher imitation

Not 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.

metaresearch head score (Codex)0.000
metaresearch head score (Gemma)0.000
Version: codex-gemma-dda1882f352aValidation status: machine_predicted_unvalidated
Candidate categoriesMeta-epidemiology (narrow), Insufficient payload (model declined to judge)
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Theoretical or conceptual · Consensus signal: none
GenreCandidate signal: Empirical · Consensus signal: Empirical
Teacher disagreement score0.879
Threshold uncertainty score1.000

Codex and Gemma teacher scores by category

CategoryCodexGemma
Metaresearch0.0000.000
Meta-epidemiology (narrow)0.0000.000
Meta-epidemiology (broad)0.0010.001
Bibliometrics0.0010.001
Science and technology studies0.0000.000
Scholarly communication0.0000.000
Open science0.0010.000
Research integrity0.0000.000
Insufficient payload (model declined to judge)0.0070.000

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.

Opus teacher head0.009
GPT teacher head0.180
Teacher spread0.171 · how far apart the two teachers sit on this one work
Validation statusscore_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it

Classification

machine, unvalidated

Machine predicted; a candidate call from one teacher head, not a consensus.

Study designTheoretical or conceptual
Domainnot available
GenreEmpirical

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".

Quick stats

Citations0
Published2014
Admission routes1
Has abstractyes

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