{"bundle_type":"pith_open_graph_bundle","bundle_version":"1.0","pith_number":"pith:2017:2TO6KGRJHMVS424SNGELDAUERV","short_pith_number":"pith:2TO6KGRJ","canonical_record":{"source":{"id":"1704.06697","kind":"arxiv","version":3},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PM","submitted_at":"2017-04-21T20:03:58Z","cross_cats_sorted":["q-fin.MF"],"title_canon_sha256":"081595f6dc8850c6da7c5268e85f9f957715a3977735ca9c5fdfc38ba109f1dc","abstract_canon_sha256":"5a026d47643ee81c928f0cfb54696af104ec52efda8367c281664202cc064682"},"schema_version":"1.0"},"canonical_sha256":"d4dde51a293b2b2e6b926988b182848d443214939577c7d499783a89b57ff0db","source":{"kind":"arxiv","id":"1704.06697","version":3},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1704.06697","created_at":"2026-05-18T00:02:39Z"},{"alias_kind":"arxiv_version","alias_value":"1704.06697v3","created_at":"2026-05-18T00:02:39Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1704.06697","created_at":"2026-05-18T00:02:39Z"},{"alias_kind":"pith_short_12","alias_value":"2TO6KGRJHMVS","created_at":"2026-05-18T12:30:55Z"},{"alias_kind":"pith_short_16","alias_value":"2TO6KGRJHMVS424S","created_at":"2026-05-18T12:30:55Z"},{"alias_kind":"pith_short_8","alias_value":"2TO6KGRJ","created_at":"2026-05-18T12:30:55Z"}],"events":[{"event_type":"record_created","subject_pith_number":"pith:2017:2TO6KGRJHMVS424SNGELDAUERV","target":"record","payload":{"canonical_record":{"source":{"id":"1704.06697","kind":"arxiv","version":3},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PM","submitted_at":"2017-04-21T20:03:58Z","cross_cats_sorted":["q-fin.MF"],"title_canon_sha256":"081595f6dc8850c6da7c5268e85f9f957715a3977735ca9c5fdfc38ba109f1dc","abstract_canon_sha256":"5a026d47643ee81c928f0cfb54696af104ec52efda8367c281664202cc064682"},"schema_version":"1.0"},"canonical_sha256":"d4dde51a293b2b2e6b926988b182848d443214939577c7d499783a89b57ff0db","receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T00:02:39.863337Z","signature_b64":"yH6Qd54rzpN5LoWxZ1ANdRNsQDxvhANuJAwuIyhIjCzXKAysNuGrY983szCBZ18wrhemQm0NPYfkOj++CzPmAw==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"d4dde51a293b2b2e6b926988b182848d443214939577c7d499783a89b57ff0db","last_reissued_at":"2026-05-18T00:02:39.862679Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T00:02:39.862679Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"source_kind":"arxiv","source_id":"1704.06697","source_version":3,"attestation_state":"computed"},"signer":{"signer_id":"pith.science","signer_type":"pith_registry","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"created_at":"2026-05-18T00:02:39Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"d03X8pBywiaqnx06F0U/DgO4HNn5+lyZOrAG68UDIOGUvM1A7iW2B852XCN6fN7p6X2XYyRzrX1EVfrdYBTjAA==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-06-04T06:05:54.406379Z"},"content_sha256":"641901a387b9829f04c6a0220e6a6ba3ec62ba44df8f87768855f1dd5b8e8104","schema_version":"1.0","event_id":"sha256:641901a387b9829f04c6a0220e6a6ba3ec62ba44df8f87768855f1dd5b8e8104"},{"event_type":"graph_snapshot","subject_pith_number":"pith:2017:2TO6KGRJHMVS424SNGELDAUERV","target":"graph","payload":{"graph_snapshot":{"paper":{"title":"Pairs Trading under Drift Uncertainty and Risk Penalization","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.MF"],"primary_cat":"q-fin.PM","authors_text":"Katia Colaneri, S\\\"uhan Altay, Zehra Eksi","submitted_at":"2017-04-21T20:03:58Z","abstract_excerpt":"In this work, we study a dynamic portfolio optimization problem related to pairs trading, which is an investment strategy that matches a long position in one security with a short position in another security with similar characteristics. The relationship between pairs, called a spread, is modeled by a Gaussian mean-reverting process whose drift rate is modulated by an unobservable continuous-time, finite-state Markov chain. Using the classical stochastic filtering theory, we reduce this problem with partial information to the one with full information and solve it for the logarithmic utility "},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1704.06697","kind":"arxiv","version":3},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"},"verdict_id":null},"signer":{"signer_id":"pith.science","signer_type":"pith_registry","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"created_at":"2026-05-18T00:02:39Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"N0w5bRupXuHtkbYuf/TaJysoja1CVqH6G6fp4If1YvJ30gjwWAQFyU/sFgLZxpWl1STI4AkiXjfv/iYsMcOvDw==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-06-04T06:05:54.406738Z"},"content_sha256":"60eb80d8655044145112abefa6bc54bdfc2e0fd97a9268ea9d67b18e9d5aaa85","schema_version":"1.0","event_id":"sha256:60eb80d8655044145112abefa6bc54bdfc2e0fd97a9268ea9d67b18e9d5aaa85"}],"timestamp_proofs":[],"mirror_hints":[{"mirror_type":"https","name":"Pith Resolver","base_url":"https://pith.science","bundle_url":"https://pith.science/pith/2TO6KGRJHMVS424SNGELDAUERV/bundle.json","state_url":"https://pith.science/pith/2TO6KGRJHMVS424SNGELDAUERV/state.json","well_known_bundle_url":"https://pith.science/.well-known/pith/2TO6KGRJHMVS424SNGELDAUERV/bundle.json","status":"primary"}],"public_keys":[{"key_id":"pith-v1-2026-05","algorithm":"ed25519","format":"raw","public_key_b64":"stVStoiQhXFxp4s2pdzPNoqVNBMojDU/fJ2db5S3CbM=","public_key_hex":"b2d552b68890857171a78b36a5dccf368a953413288c353f7c9d9d6f94b709b3","fingerprint_sha256_b32_first128bits":"RVFV5Z2OI2J3ZUO7ERDEBCYNKS","fingerprint_sha256_hex":"8d4b5ee74e4693bcd1df2446408b0d54","rotates_at":null,"url":"https://pith.science/pith-signing-key.json","notes":"Pith uses this Ed25519 key to sign canonical record SHA-256 digests. Verify with: ed25519_verify(public_key, message=canonical_sha256_bytes, signature=base64decode(signature_b64))."}],"merge_version":"pith-open-graph-merge-v1","built_at":"2026-06-04T06:05:54Z","links":{"resolver":"https://pith.science/pith/2TO6KGRJHMVS424SNGELDAUERV","bundle":"https://pith.science/pith/2TO6KGRJHMVS424SNGELDAUERV/bundle.json","state":"https://pith.science/pith/2TO6KGRJHMVS424SNGELDAUERV/state.json","well_known_bundle":"https://pith.science/.well-known/pith/2TO6KGRJHMVS424SNGELDAUERV/bundle.json"},"state":{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2017:2TO6KGRJHMVS424SNGELDAUERV","merge_version":"pith-open-graph-merge-v1","event_count":2,"valid_event_count":2,"invalid_event_count":0,"equivocation_count":0,"current":{"canonical_record":{"metadata":{"abstract_canon_sha256":"5a026d47643ee81c928f0cfb54696af104ec52efda8367c281664202cc064682","cross_cats_sorted":["q-fin.MF"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PM","submitted_at":"2017-04-21T20:03:58Z","title_canon_sha256":"081595f6dc8850c6da7c5268e85f9f957715a3977735ca9c5fdfc38ba109f1dc"},"schema_version":"1.0","source":{"id":"1704.06697","kind":"arxiv","version":3}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1704.06697","created_at":"2026-05-18T00:02:39Z"},{"alias_kind":"arxiv_version","alias_value":"1704.06697v3","created_at":"2026-05-18T00:02:39Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1704.06697","created_at":"2026-05-18T00:02:39Z"},{"alias_kind":"pith_short_12","alias_value":"2TO6KGRJHMVS","created_at":"2026-05-18T12:30:55Z"},{"alias_kind":"pith_short_16","alias_value":"2TO6KGRJHMVS424S","created_at":"2026-05-18T12:30:55Z"},{"alias_kind":"pith_short_8","alias_value":"2TO6KGRJ","created_at":"2026-05-18T12:30:55Z"}],"graph_snapshots":[{"event_id":"sha256:60eb80d8655044145112abefa6bc54bdfc2e0fd97a9268ea9d67b18e9d5aaa85","target":"graph","created_at":"2026-05-18T00:02:39Z","signer":{"key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signer_id":"pith.science","signer_type":"pith_registry"},"payload":{"graph_snapshot":{"author_claims":{"count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","strong_count":0},"builder_version":"pith-number-builder-2026-05-17-v1","claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"paper":{"abstract_excerpt":"In this work, we study a dynamic portfolio optimization problem related to pairs trading, which is an investment strategy that matches a long position in one security with a short position in another security with similar characteristics. The relationship between pairs, called a spread, is modeled by a Gaussian mean-reverting process whose drift rate is modulated by an unobservable continuous-time, finite-state Markov chain. Using the classical stochastic filtering theory, we reduce this problem with partial information to the one with full information and solve it for the logarithmic utility ","authors_text":"Katia Colaneri, S\\\"uhan Altay, Zehra Eksi","cross_cats":["q-fin.MF"],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PM","submitted_at":"2017-04-21T20:03:58Z","title":"Pairs Trading under Drift Uncertainty and Risk Penalization"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1704.06697","kind":"arxiv","version":3},"verdict":{"created_at":null,"id":null,"model_set":{},"one_line_summary":"","pipeline_version":null,"pith_extraction_headline":"","strongest_claim":"","weakest_assumption":""}},"verdict_id":null}}],"author_attestations":[],"timestamp_anchors":[],"storage_attestations":[],"citation_signatures":[],"replication_records":[],"corrections":[],"mirror_hints":[],"record_created":{"event_id":"sha256:641901a387b9829f04c6a0220e6a6ba3ec62ba44df8f87768855f1dd5b8e8104","target":"record","created_at":"2026-05-18T00:02:39Z","signer":{"key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signer_id":"pith.science","signer_type":"pith_registry"},"payload":{"attestation_state":"computed","canonical_record":{"metadata":{"abstract_canon_sha256":"5a026d47643ee81c928f0cfb54696af104ec52efda8367c281664202cc064682","cross_cats_sorted":["q-fin.MF"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PM","submitted_at":"2017-04-21T20:03:58Z","title_canon_sha256":"081595f6dc8850c6da7c5268e85f9f957715a3977735ca9c5fdfc38ba109f1dc"},"schema_version":"1.0","source":{"id":"1704.06697","kind":"arxiv","version":3}},"canonical_sha256":"d4dde51a293b2b2e6b926988b182848d443214939577c7d499783a89b57ff0db","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"d4dde51a293b2b2e6b926988b182848d443214939577c7d499783a89b57ff0db","first_computed_at":"2026-05-18T00:02:39.862679Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-18T00:02:39.862679Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"yH6Qd54rzpN5LoWxZ1ANdRNsQDxvhANuJAwuIyhIjCzXKAysNuGrY983szCBZ18wrhemQm0NPYfkOj++CzPmAw==","signature_status":"signed_v1","signed_at":"2026-05-18T00:02:39.863337Z","signed_message":"canonical_sha256_bytes"},"source_id":"1704.06697","source_kind":"arxiv","source_version":3}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:641901a387b9829f04c6a0220e6a6ba3ec62ba44df8f87768855f1dd5b8e8104","sha256:60eb80d8655044145112abefa6bc54bdfc2e0fd97a9268ea9d67b18e9d5aaa85"],"state_sha256":"0ab537f551c732998f0e31952613241fbdc18da4fddde7678519da8dde488d7e"},"bundle_signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"x8si6BEsOILZLn95Z0JU0y71jSUQWzrul9kSTbyEcPt/6CaSJYEQGisQ0tR+vl59bNH9/L+rSX/XEfU6lnJ2DQ==","signed_message":"bundle_sha256_bytes","signed_at":"2026-06-04T06:05:54.408889Z","bundle_sha256":"43dde4288b7b851760eb4793c71aed18a7a89317270ac4f9ae2feca671b77dc7"}}