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Record W4249114491 · doi:10.32920/ryerson.14653260

Model selection in stock correlation networks

2021· preprint· en· W4249114491 on OpenAlexaff
Narges Alipourjeddi

Bibliographic record

Venuenot available
Typepreprint
Languageen
FieldEconomics, Econometrics and Finance
TopicComplex Systems and Time Series Analysis
Canadian institutionsToronto Metropolitan University
Fundersnot available
KeywordsComputer scienceStock (firearms)Stock marketCorrelationEconometricsArtificial intelligenceMathematicsGeography

Abstract

fetched live from OpenAlex

In this research we construct market networks to study correlation between the price return for all Dow Jones, NASDAQ-100 and S&P 100 indices that were traded over a period of time. We consider market networks, which have stocks as nodes and edges corresponding to correlated stocks. Specifically, a winner-take-all approach is used to determine if two nodes are adjacent. We identify that all networks based on the connecting stocks of highly correlated price returns display a scale-free degree distribution. Additionally, we use features for representing different aspects of the network. The feature includes small connected sub-graphs with three and four vertices. We use an algorithm to count frequently the number of the graphlets for our mathematical models and our constructed networks. Each network is assigned an 8-dimensional vector. We present a model selection algorithm based on supervised learning. Our algorithm classifies our market networks with the best fitting mathematical model.

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 categoriesInsufficient payload (model declined to judge)
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Simulation or modeling · Consensus signal: Simulation or modeling
GenreCandidate signal: Empirical · Consensus signal: none
Teacher disagreement score0.894
Threshold uncertainty score0.999

Codex and Gemma teacher scores by category

CategoryCodexGemma
Metaresearch0.0000.000
Meta-epidemiology (narrow)0.0000.000
Meta-epidemiology (broad)0.0010.000
Bibliometrics0.0000.000
Science and technology studies0.0000.000
Scholarly communication0.0000.000
Open science0.0000.000
Research integrity0.0000.000
Insufficient payload (model declined to judge)0.0010.000

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 head0.049
GPT teacher head0.221
Teacher spread0.172 · 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 designSimulation or modeling
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
Published2021
Admission routes1
Has abstractyes

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