{"bundle_type":"pith_open_graph_bundle","bundle_version":"1.0","pith_number":"pith:2017:7FDJT4WBU7G4O2UUN6ST3K5CPG","short_pith_number":"pith:7FDJT4WB","canonical_record":{"source":{"id":"1712.08329","kind":"arxiv","version":4},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.CP","submitted_at":"2017-12-22T07:42:13Z","cross_cats_sorted":["math.PR","stat.AP"],"title_canon_sha256":"2ffa98757ae32a949b1b42e3c6f86d9433e8d49685577f4b8826cfa7b0d65ab1","abstract_canon_sha256":"42db0da3f8a94a0574d8d9e7967c27c239fa48f153833f792bf3c1abea23fbd5"},"schema_version":"1.0"},"canonical_sha256":"f94699f2c1a7cdc76a946fa53daba2799ff052ec781ce291cacb271291c1bc74","source":{"kind":"arxiv","id":"1712.08329","version":4},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1712.08329","created_at":"2026-05-17T23:53:01Z"},{"alias_kind":"arxiv_version","alias_value":"1712.08329v4","created_at":"2026-05-17T23:53:01Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1712.08329","created_at":"2026-05-17T23:53:01Z"},{"alias_kind":"pith_short_12","alias_value":"7FDJT4WBU7G4","created_at":"2026-05-18T12:31:05Z"},{"alias_kind":"pith_short_16","alias_value":"7FDJT4WBU7G4O2UU","created_at":"2026-05-18T12:31:05Z"},{"alias_kind":"pith_short_8","alias_value":"7FDJT4WB","created_at":"2026-05-18T12:31:05Z"}],"events":[{"event_type":"record_created","subject_pith_number":"pith:2017:7FDJT4WBU7G4O2UUN6ST3K5CPG","target":"record","payload":{"canonical_record":{"source":{"id":"1712.08329","kind":"arxiv","version":4},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.CP","submitted_at":"2017-12-22T07:42:13Z","cross_cats_sorted":["math.PR","stat.AP"],"title_canon_sha256":"2ffa98757ae32a949b1b42e3c6f86d9433e8d49685577f4b8826cfa7b0d65ab1","abstract_canon_sha256":"42db0da3f8a94a0574d8d9e7967c27c239fa48f153833f792bf3c1abea23fbd5"},"schema_version":"1.0"},"canonical_sha256":"f94699f2c1a7cdc76a946fa53daba2799ff052ec781ce291cacb271291c1bc74","receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-17T23:53:01.329070Z","signature_b64":"WL/DkcWYgAlhunz3GoehtABzgIUUyEWfQx5xfoZFbDYjMDkRpaSy3Y2okmGf+6BnhaeXwPEW3RKdbl7wo/wuCw==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"f94699f2c1a7cdc76a946fa53daba2799ff052ec781ce291cacb271291c1bc74","last_reissued_at":"2026-05-17T23:53:01.328411Z","signature_status":"signed_v1","first_computed_at":"2026-05-17T23:53:01.328411Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"source_kind":"arxiv","source_id":"1712.08329","source_version":4,"attestation_state":"computed"},"signer":{"signer_id":"pith.science","signer_type":"pith_registry","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"created_at":"2026-05-17T23:53:01Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"UigxKN0i0m0OsOYdAXiO9DQj8kaMdY+g2XwtPKUngD6N/qIRdKxiNUKtvofsIiuIM4sAA/pms2oy3jjAW6f6Dg==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-05-20T17:36:04.713165Z"},"content_sha256":"96c00c466329556e422fa6df318db5841320c09055807b00119c85fceb9ac55c","schema_version":"1.0","event_id":"sha256:96c00c466329556e422fa6df318db5841320c09055807b00119c85fceb9ac55c"},{"event_type":"graph_snapshot","subject_pith_number":"pith:2017:7FDJT4WBU7G4O2UUN6ST3K5CPG","target":"graph","payload":{"graph_snapshot":{"paper":{"title":"A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["math.PR","stat.AP"],"primary_cat":"q-fin.CP","authors_text":"Antoine Lejay (TOSCA, IECL), Paolo Pigato (WIAS)","submitted_at":"2017-12-22T07:42:13Z","abstract_excerpt":"In financial markets, low prices are generally associated with high volatilities and vice-versa, this well known stylized fact usually being referred to as leverage effect. We propose a local volatility model, given by a stochastic differential equation with piecewise constant coefficients, which accounts of leverage and mean-reversion effects in the dynamics of the prices. This model exhibits a regime switch in the dynamics accordingly to a certain threshold. It can be seen as a continuous-time version of the Self-Exciting Threshold Autoregressive (SETAR) model. We propose an estimation proce"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1712.08329","kind":"arxiv","version":4},"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":"2026-05-17T23:53:01Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"SxFG7rDtUSM/X9y+OxZ938WSxnuayuPlh5fU4U7U1vKv/7qaKR14bjwJa2ZbPQOEPjt85U9byyhUmp0V1HZnDg==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-05-20T17:36:04.713824Z"},"content_sha256":"1e1ca24fa96fbf7691a82337fcc3bdee0759fc16677acd48a482f4d7ac2eb018","schema_version":"1.0","event_id":"sha256:1e1ca24fa96fbf7691a82337fcc3bdee0759fc16677acd48a482f4d7ac2eb018"}],"timestamp_proofs":[],"mirror_hints":[{"mirror_type":"https","name":"Pith Resolver","base_url":"https://pith.science","bundle_url":"https://pith.science/pith/7FDJT4WBU7G4O2UUN6ST3K5CPG/bundle.json","state_url":"https://pith.science/pith/7FDJT4WBU7G4O2UUN6ST3K5CPG/state.json","well_known_bundle_url":"https://pith.science/.well-known/pith/7FDJT4WBU7G4O2UUN6ST3K5CPG/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":"2026-05-20T17:36:04Z","links":{"resolver":"https://pith.science/pith/7FDJT4WBU7G4O2UUN6ST3K5CPG","bundle":"https://pith.science/pith/7FDJT4WBU7G4O2UUN6ST3K5CPG/bundle.json","state":"https://pith.science/pith/7FDJT4WBU7G4O2UUN6ST3K5CPG/state.json","well_known_bundle":"https://pith.science/.well-known/pith/7FDJT4WBU7G4O2UUN6ST3K5CPG/bundle.json"},"state":{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2017:7FDJT4WBU7G4O2UUN6ST3K5CPG","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":"42db0da3f8a94a0574d8d9e7967c27c239fa48f153833f792bf3c1abea23fbd5","cross_cats_sorted":["math.PR","stat.AP"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.CP","submitted_at":"2017-12-22T07:42:13Z","title_canon_sha256":"2ffa98757ae32a949b1b42e3c6f86d9433e8d49685577f4b8826cfa7b0d65ab1"},"schema_version":"1.0","source":{"id":"1712.08329","kind":"arxiv","version":4}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1712.08329","created_at":"2026-05-17T23:53:01Z"},{"alias_kind":"arxiv_version","alias_value":"1712.08329v4","created_at":"2026-05-17T23:53:01Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1712.08329","created_at":"2026-05-17T23:53:01Z"},{"alias_kind":"pith_short_12","alias_value":"7FDJT4WBU7G4","created_at":"2026-05-18T12:31:05Z"},{"alias_kind":"pith_short_16","alias_value":"7FDJT4WBU7G4O2UU","created_at":"2026-05-18T12:31:05Z"},{"alias_kind":"pith_short_8","alias_value":"7FDJT4WB","created_at":"2026-05-18T12:31:05Z"}],"graph_snapshots":[{"event_id":"sha256:1e1ca24fa96fbf7691a82337fcc3bdee0759fc16677acd48a482f4d7ac2eb018","target":"graph","created_at":"2026-05-17T23:53:01Z","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 financial markets, low prices are generally associated with high volatilities and vice-versa, this well known stylized fact usually being referred to as leverage effect. We propose a local volatility model, given by a stochastic differential equation with piecewise constant coefficients, which accounts of leverage and mean-reversion effects in the dynamics of the prices. This model exhibits a regime switch in the dynamics accordingly to a certain threshold. It can be seen as a continuous-time version of the Self-Exciting Threshold Autoregressive (SETAR) model. We propose an estimation proce","authors_text":"Antoine Lejay (TOSCA, IECL), Paolo Pigato (WIAS)","cross_cats":["math.PR","stat.AP"],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.CP","submitted_at":"2017-12-22T07:42:13Z","title":"A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1712.08329","kind":"arxiv","version":4},"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":"sha256:96c00c466329556e422fa6df318db5841320c09055807b00119c85fceb9ac55c","target":"record","created_at":"2026-05-17T23:53:01Z","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":"42db0da3f8a94a0574d8d9e7967c27c239fa48f153833f792bf3c1abea23fbd5","cross_cats_sorted":["math.PR","stat.AP"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.CP","submitted_at":"2017-12-22T07:42:13Z","title_canon_sha256":"2ffa98757ae32a949b1b42e3c6f86d9433e8d49685577f4b8826cfa7b0d65ab1"},"schema_version":"1.0","source":{"id":"1712.08329","kind":"arxiv","version":4}},"canonical_sha256":"f94699f2c1a7cdc76a946fa53daba2799ff052ec781ce291cacb271291c1bc74","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"f94699f2c1a7cdc76a946fa53daba2799ff052ec781ce291cacb271291c1bc74","first_computed_at":"2026-05-17T23:53:01.328411Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-17T23:53:01.328411Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"WL/DkcWYgAlhunz3GoehtABzgIUUyEWfQx5xfoZFbDYjMDkRpaSy3Y2okmGf+6BnhaeXwPEW3RKdbl7wo/wuCw==","signature_status":"signed_v1","signed_at":"2026-05-17T23:53:01.329070Z","signed_message":"canonical_sha256_bytes"},"source_id":"1712.08329","source_kind":"arxiv","source_version":4}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:96c00c466329556e422fa6df318db5841320c09055807b00119c85fceb9ac55c","sha256:1e1ca24fa96fbf7691a82337fcc3bdee0759fc16677acd48a482f4d7ac2eb018"],"state_sha256":"cfa42e0a8a0934e162b2181acf8c374a8798a65953f99f094281e67c54b87849"},"bundle_signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"v0Soqb/+hh9nhzHivJSIgMjFI1K+Tc+KA5QRbaxI9bvrtoNrrKxt7vkUr5q23fhKMKN+J59AmAqWO/NnbjYhCg==","signed_message":"bundle_sha256_bytes","signed_at":"2026-05-20T17:36:04.717135Z","bundle_sha256":"b60cc2af2b933e8d2885ea60e71f049e6df8349012b1dd936e73034142dff922"}}