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Record W4320078384 · doi:10.58886/jfi.v5i1.2600

Modeling Risk with Unit-variance Leptokurtic Fratcal Normal Statistics

2007· article· en· W4320078384 on OpenAlexaff
James Stacey, Alex Faseruk

Bibliographic record

VenueJournal of Finance Issues · 2007
Typearticle
Languageen
FieldEconomics, Econometrics and Finance
TopicFinancial Risk and Volatility Modeling
Canadian institutionsMemorial University of Newfoundland
Fundersnot available
KeywordsKurtosisMathematicsStatisticsFractalProbability density functionFractal dimensionNormal distributionSkewnessLimit (mathematics)Probability distributionRange (aeronautics)Mathematical analysis

Abstract

fetched live from OpenAlex

This abstract was created post-production by the JFI Editorial Board. This study examines the hypothesis that there exists a family of unit-variant leptokurtic probability density functions with the attractive properties of normal statistics. It constructs numerically a family of symmetric Normal pdfs defined for fractal spaces with index q. These distributions have the attractive property of having unit variance for 1 <q<2 and approximately unit variance for 0.5<q<1 (the limit of the range that was studied). This paper studies the conjecture that there exists a family of Normal distributions with unit variance that can be defined on metric spaces of dimension m=q/2 for 0<q<2. Some analytical techniques that arise from this conjecture are explored, indicating how one could apply a broader theory of fractal statistics in practice. The power of these techniques follows from the property that the scale of the numerically generated probability distributions is independent of the fractal index q. This allows the non-linearity of fractal statistics to be absorbed into a universal non-linear function of a shape measure with the kurtosis chosen to illustrate the method: for what this study calls Fractal Normal, or Formal, pdfs. It is found that the application of Fractal Normal statistics retains the attractiveness of Normal statistics by allowing optimal solutions to be determined in a straightforward fashion.

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)0.000
Version: codex-gemma-dda1882f352aValidation status: machine_predicted_unvalidated
Candidate categoriesnone
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 score0.508
Threshold uncertainty score0.795

Codex and Gemma teacher scores by category

CategoryCodexGemma
Metaresearch0.0020.000
Meta-epidemiology (narrow)0.0000.000
Meta-epidemiology (broad)0.0010.000
Bibliometrics0.0000.000
Science and technology studies0.0000.000
Scholarly communication0.0000.001
Open science0.0000.000
Research integrity0.0000.001
Insufficient payload (model declined to judge)0.0000.000

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 head0.030
GPT teacher head0.258
Teacher spread0.228 · 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.

The models applied no category: nothing in the taxonomy fit this work.
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
Published2007
Admission routes1
Has abstractyes

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