{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2011:7JCLFFDB67CGURVKKKHPDJP7SN","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":"9f0ef7a5bd321d270b25dfc7c0d63afe94f1b5f26c5769f16b4185a89bb8e405","cross_cats_sorted":["physics.data-an","q-fin.PR"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.ST","submitted_at":"2011-03-18T14:54:19Z","title_canon_sha256":"01b995444e308c9cc1a280e8008b5819b404c7250edac12c36f03286dc19e4d3"},"schema_version":"1.0","source":{"id":"1103.3639","kind":"arxiv","version":2}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1103.3639","created_at":"2026-05-18T02:02:49Z"},{"alias_kind":"arxiv_version","alias_value":"1103.3639v2","created_at":"2026-05-18T02:02:49Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1103.3639","created_at":"2026-05-18T02:02:49Z"},{"alias_kind":"pith_short_12","alias_value":"7JCLFFDB67CG","created_at":"2026-05-18T12:26:22Z"},{"alias_kind":"pith_short_16","alias_value":"7JCLFFDB67CGURVK","created_at":"2026-05-18T12:26:22Z"},{"alias_kind":"pith_short_8","alias_value":"7JCLFFDB","created_at":"2026-05-18T12:26:22Z"}],"graph_snapshots":[{"event_id":"sha256:80c3aebffe448e018126a27b97192db04dca93c206d187d5ae6d79bc4c8c0935","target":"graph","created_at":"2026-05-18T02:02:49Z","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":"We perform wavelet decomposition of high frequency financial time series into large and small time scale components. Taking the FTSE100 index as a case study, and working with the Haar basis, it turns out that the small scale component defined by most ($\\simeq$ 99.6%) of the wavelet coefficients can be neglected for the purpose of option premium evaluation. The relevance of the hugely compressed information provided by low-pass wavelet-filtering is related to the fact that the non-gaussian statistical structure of the original financial time series is essentially preserved for expiration times","authors_text":"L. Moriconi, V. T. X. de Almeida","cross_cats":["physics.data-an","q-fin.PR"],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.ST","submitted_at":"2011-03-18T14:54:19Z","title":"Option Pricing from Wavelet-Filtered Financial Series"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1103.3639","kind":"arxiv","version":2},"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":"sha256:237020a61df84d0696846bfe7c5b5847214c8bc4e5ab81b4c5f8f2c856982ab1","target":"record","created_at":"2026-05-18T02:02:49Z","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":"9f0ef7a5bd321d270b25dfc7c0d63afe94f1b5f26c5769f16b4185a89bb8e405","cross_cats_sorted":["physics.data-an","q-fin.PR"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.ST","submitted_at":"2011-03-18T14:54:19Z","title_canon_sha256":"01b995444e308c9cc1a280e8008b5819b404c7250edac12c36f03286dc19e4d3"},"schema_version":"1.0","source":{"id":"1103.3639","kind":"arxiv","version":2}},"canonical_sha256":"fa44b29461f7c46a46aa528ef1a5ff934082e4913e956e1902ebda5aa08e5235","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"fa44b29461f7c46a46aa528ef1a5ff934082e4913e956e1902ebda5aa08e5235","first_computed_at":"2026-05-18T02:02:49.780060Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-18T02:02:49.780060Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"tsiVwIIEUCJKMRRprsZFxvNtV4eU+/X4MD358dOHcp/74Xb1bcsRMbES7sbjyUme/0S6z/zUL34A72k3YIYBBg==","signature_status":"signed_v1","signed_at":"2026-05-18T02:02:49.781058Z","signed_message":"canonical_sha256_bytes"},"source_id":"1103.3639","source_kind":"arxiv","source_version":2}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:237020a61df84d0696846bfe7c5b5847214c8bc4e5ab81b4c5f8f2c856982ab1","sha256:80c3aebffe448e018126a27b97192db04dca93c206d187d5ae6d79bc4c8c0935"],"state_sha256":"e1ae80e630e192114024510c6f8308ed7da5ceefaa66bd44a297cb03c48021bf"}