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Record W4416156757 · doi:10.4236/jmf.2025.154032

Mean Reversion in Auction Markets

2025· article· W4416156757 on OpenAlex

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

VenueJournal of Mathematical Finance · 2025
Typearticle
Language
FieldEconomics, Econometrics and Finance
TopicMarket Dynamics and Volatility
Canadian institutionsUniversity of Saskatchewan
Fundersnot available
KeywordsMean reversionVolatility (finance)CommoditySpot contractEmpirical evidencePrice formation

Abstract

fetched live from OpenAlex

Mean reversion is a process that influences commodity prices in auction markets. This process captures price dynamics that the traditional static model of demand and supply cannot fully explain. By accounting for periodic shocks to demand and supply, mean reversion provides a more accurate pricing model under conditions of uncertainty. This article presents empirical evidence that various commodities traded in auction markets exhibit mean reversion in their pricing. This mean reversion is a significant component of total volatility. After accounting for commodity value, the derived volatility pattern aligns with the observed volatility pattern of a commodity.

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)0.005
metaresearch head score (Gemma)0.001
Version: codex-gemma-dda1882f352aValidation status: machine_predicted_unvalidated
Candidate categoriesMeta-epidemiology (narrow)
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Theoretical or conceptual · Consensus signal: Theoretical or conceptual
GenreCandidate signal: Empirical · Consensus signal: Empirical
Teacher disagreement score0.207
Threshold uncertainty score1.000

Codex and Gemma teacher scores by category

CategoryCodexGemma
Metaresearch0.0050.001
Meta-epidemiology (narrow)0.0000.000
Meta-epidemiology (broad)0.0010.000
Bibliometrics0.0010.001
Science and technology studies0.0000.000
Scholarly communication0.0000.000
Open science0.0000.000
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 head0.016
GPT teacher head0.239
Teacher spread0.223 · 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