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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

Hiermit versichere ich, die vorliegende Dissertation selbstständig, ohne fremde Hilfe und ohne Benutzung anderer als den angegebenen Quellen angefertigt zu haben.Alle aus fremden Werken direkt oder indirekt übernommenen Stellen sind als solche gekennzeichnet.Die vorliegende Dissertation wurde in keinem anderen Promotionsverfahren eingereicht.Mit dieser Arbeit strebe ich die Erlangung des akademischen Grades "Doktor der Naturwissenschaften" (Dr.rer.nat.) an.

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 machine prediction

Teacher imitation

Not 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.

metaresearch head score (Codex)0.002
metaresearch head score (Gemma)0.022
Version: metacan-v3-hybrid-931329e0061cValidation status: machine_predicted_unvalidated
Candidate categoriesnone
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Theoretical or conceptual · Consensus signal: Theoretical or conceptual
GenreCandidate signal: Other · Consensus signal: none
Teacher disagreement score0.003
Threshold uncertainty score0.012

Distilled classifier scores by category (both heads)

CategoryCodexGemma
Metaresearch0.0020.022
Meta-epidemiology (narrow)0.0000.000
Meta-epidemiology (broad)0.0010.001
Bibliometrics0.0010.002
Science and technology studies0.0010.003
Scholarly communication0.0030.003
Open science0.0010.001
Research integrity0.0020.003
Insufficient payload (model declined to judge)0.0030.001

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.

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 source (direct Gemma or distilled Codex), not a consensus.

The models applied no category: nothing in the taxonomy fit this work.
Study designTheoretical or conceptual
Domainnot available
GenreOther

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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