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Record W4392241784 · doi:10.1142/s2010139224500034

Futures Replication and the Law of One Futures Price

2024· article· en· W4392241784 on OpenAlex
Avi Bick

Why this work is in the frame

A frame that forgets how it found something cannot be audited. These are the routes that admitted this work.

affAt least one author lists a Canadian institution in the pinned OpenAlex snapshot.

Bibliographic record

VenueQuarterly Journal of Finance · 2024
Typearticle
Languageen
FieldEconomics, Econometrics and Finance
TopicStochastic processes and financial applications
Canadian institutionsSimon Fraser University
Fundersnot available
KeywordsFutures contractSpread tradeForward marketCommodity poolCashEconomicsFinancial economicsMicroeconomicsFinance

Abstract

fetched live from OpenAlex

We define a synthetic futures contract as a pair consisting of a terminal futures price [Formula: see text] (a prespecified random variable) and a zero-value trading strategy whose terminal cumulative cash flow is equal to [Formula: see text] to within an additive constant. The construction of synthetic futures contracts is demonstrated for (i) futures on futures, (ii) futures on spot, (iii) quanto futures on futures, (iv) quanto futures on spot and (v) futures on foreign futures and domestic futures. We formulate and derive the Law of One Futures Price, which justifies futures pricing based on such replication.

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.

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)0.001
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: Theoretical or conceptual · Consensus signal: Theoretical or conceptual
GenreCandidate signal: Empirical · Consensus signal: none
Teacher disagreement score0.865
Threshold uncertainty score0.264

Codex and Gemma teacher scores by category

CategoryCodexGemma
Metaresearch0.0010.000
Meta-epidemiology (narrow)0.0000.000
Meta-epidemiology (broad)0.0000.000
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)0.0000.000

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 head0.014
GPT teacher head0.225
Teacher spread0.211 · 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