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Record W4252938444 · doi:10.32920/ryerson.14647392

A quadrinomial lattice model that incorporates skewness and kurtosis

2021· preprint· en· W4252938444 on OpenAlexaff
Nikulbhai Patel

Bibliographic record

Venuenot available
Typepreprint
Languageen
FieldDecision Sciences
TopicInnovation Diffusion and Forecasting
Canadian institutionsToronto Metropolitan University
Fundersnot available
KeywordsKurtosisSkewnessLattice (music)Statistical physicsMathematicsLog-normal distributionLimitingVolatility (finance)EconometricsStatisticsPhysicsEngineering

Abstract

fetched live from OpenAlex

Primbs et al. (2007) proposed an option pricing method using a pentanomial lattice that incorporated mean, volatility, skewness and kurtosis. This approach is very useful when the return of the underlying asset follows a lognormal distribution. However, Primbs et al. (2007) claimed that "with four moments, one could conceivably use a quadrinomial lattice (i.e., four branches); however, the recombination conditions along with the requirement of non-negative probabilities are quite limiting in terms of the range of skewness and kurtosis that can be captured". In this research, as a refutation, a quadrinomial lattice model has been developed incorporating mean, volatility, skewness, and kurtosis; and it has been shown that the conditions for the non-negative probabilities are the same as the conditions obtained for the pentanomial lattice in Primbs et al. (2007). Several numerical examples are presented to compare the result obtained from the quadrinomial lattice with that of the pentanomial lattice.

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)0.002
metaresearch head score (Gemma)0.002
Version: codex-gemma-dda1882f352aValidation status: machine_predicted_unvalidated
Candidate categoriesScholarly communication
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Simulation or modeling · Consensus signal: none
GenreCandidate signal: Empirical · Consensus signal: Empirical
Teacher disagreement score0.796
Threshold uncertainty score0.999

Codex and Gemma teacher scores by category

CategoryCodexGemma
Metaresearch0.0020.002
Meta-epidemiology (narrow)0.0000.000
Meta-epidemiology (broad)0.0010.000
Bibliometrics0.0000.001
Science and technology studies0.0000.000
Scholarly communication0.0020.000
Open science0.0010.003
Research integrity0.0000.001
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 head0.267
GPT teacher head0.384
Teacher spread0.117 · 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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