{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2016:B7T4KH7XOWHMXDZGGPIB4327TZ","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":"e8fd8ae962acaf8a89b5d15958134cca5c206a4a59072020226ae0b0bc5ca979","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.TR","submitted_at":"2016-02-01T01:47:52Z","title_canon_sha256":"ae666dccdc71f0b2a2c571d600bd835e14289c7d3283768940b6da60effc1dc7"},"schema_version":"1.0","source":{"id":"1602.00358","kind":"arxiv","version":1}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1602.00358","created_at":"2026-05-18T01:21:35Z"},{"alias_kind":"arxiv_version","alias_value":"1602.00358v1","created_at":"2026-05-18T01:21:35Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1602.00358","created_at":"2026-05-18T01:21:35Z"},{"alias_kind":"pith_short_12","alias_value":"B7T4KH7XOWHM","created_at":"2026-05-18T12:30:07Z"},{"alias_kind":"pith_short_16","alias_value":"B7T4KH7XOWHMXDZG","created_at":"2026-05-18T12:30:07Z"},{"alias_kind":"pith_short_8","alias_value":"B7T4KH7X","created_at":"2026-05-18T12:30:07Z"}],"graph_snapshots":[{"event_id":"sha256:dfe4eccd1a1c029b8ec4123eebe6633752056a2bfbc95e9c5133ec23b8b06129","target":"graph","created_at":"2026-05-18T01:21:35Z","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 paper, we employ the Heston stochastic volatility model to describe the stock's volatility and apply the model to derive and analyze the optimal trading strategies for dealers in a security market. We also extend our study to option market making for options written on stocks in the presence of stochastic volatility. Mathematically, the problem is formulated as a stochastic optimal control problem and the controlled state process is the dealer's mark-to-market wealth. Dealers in the security market can optimally determine their ask and bid quotes on the underlying stocks or options con","authors_text":"Jia-Wen Gu, Qing-Qing Yang, Tak-Kuen Siu, Wai-Ki Ching","cross_cats":[],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.TR","submitted_at":"2016-02-01T01:47:52Z","title":"Trading Strategy with Stochastic Volatility in a Limit Order Book Market"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1602.00358","kind":"arxiv","version":1},"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":"sha256:4adcf5bf8a64ea99fa6f98ca4b72341ef18fbb0eaf90a5b07cfedd0851b0dc37","target":"record","created_at":"2026-05-18T01:21:35Z","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":"e8fd8ae962acaf8a89b5d15958134cca5c206a4a59072020226ae0b0bc5ca979","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.TR","submitted_at":"2016-02-01T01:47:52Z","title_canon_sha256":"ae666dccdc71f0b2a2c571d600bd835e14289c7d3283768940b6da60effc1dc7"},"schema_version":"1.0","source":{"id":"1602.00358","kind":"arxiv","version":1}},"canonical_sha256":"0fe7c51ff7758ecb8f2633d01e6f5f9e7387298b651d64f2b41bcfa264f90416","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"0fe7c51ff7758ecb8f2633d01e6f5f9e7387298b651d64f2b41bcfa264f90416","first_computed_at":"2026-05-18T01:21:35.587373Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-18T01:21:35.587373Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"BRqmtbBWXhGnu0qkeJ0bi/iHuIFGAmfFnFyCBXsiBrTJ5eGNNergbityTTasekTASORlJg06vkzjpvMx/NNDAA==","signature_status":"signed_v1","signed_at":"2026-05-18T01:21:35.588039Z","signed_message":"canonical_sha256_bytes"},"source_id":"1602.00358","source_kind":"arxiv","source_version":1}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:4adcf5bf8a64ea99fa6f98ca4b72341ef18fbb0eaf90a5b07cfedd0851b0dc37","sha256:dfe4eccd1a1c029b8ec4123eebe6633752056a2bfbc95e9c5133ec23b8b06129"],"state_sha256":"6aacfd67eac81dec28cc94c032ddaf57b0dc9f682c0b5d19b5644436cc18ebdf"}