{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2011:FGRI3YZ4KFR3LX7263N55AXJW7","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":"eb520d40ba6086e8fa29965e4efb63b3e3286d5cc8940e3e24b1db6cd91ba546","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.TR","submitted_at":"2011-11-30T10:00:20Z","title_canon_sha256":"6d528c192370681a806f01c03c7173adb3dc37d22e8b638f62f5c9be054349d3"},"schema_version":"1.0","source":{"id":"1111.7103","kind":"arxiv","version":2}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1111.7103","created_at":"2026-05-18T04:04:18Z"},{"alias_kind":"arxiv_version","alias_value":"1111.7103v2","created_at":"2026-05-18T04:04:18Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1111.7103","created_at":"2026-05-18T04:04:18Z"},{"alias_kind":"pith_short_12","alias_value":"FGRI3YZ4KFR3","created_at":"2026-05-18T12:26:28Z"},{"alias_kind":"pith_short_16","alias_value":"FGRI3YZ4KFR3LX72","created_at":"2026-05-18T12:26:28Z"},{"alias_kind":"pith_short_8","alias_value":"FGRI3YZ4","created_at":"2026-05-18T12:26:28Z"}],"graph_snapshots":[{"event_id":"sha256:c9903b1767a77a143351512671d9b76fcbc430d3091c14ff0a0bc59c3ab3cddf","target":"graph","created_at":"2026-05-18T04:04:18Z","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":"Lead/lag relationships are an important stylized fact at high frequency. Some assets follow the path of others with a small time lag. We provide indicators to measure this phenomenon using tick-by-tick data. Strongly asymmetric cross-correlation functions are empirically observed, especially in the future/stock case. We confirm the intuition that the most liquid assets (short intertrade duration, narrow bid/ask spread, small volatility, high turnover) tend to lead smaller stocks. However, the most correlated stocks are those with similar levels of liquidity. This lead/lag phenomenon is not con","authors_text":"Fr\\'ed\\'eric Abergel, Nicolas Huth","cross_cats":[],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.TR","submitted_at":"2011-11-30T10:00:20Z","title":"High Frequency Lead/lag Relationships - Empirical facts"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1111.7103","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":"sha256:77a884d5c73149efd8b0e065c10a5c9ef47b81b8ca71440ee0bd957eb7ddb800","target":"record","created_at":"2026-05-18T04:04:18Z","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":"eb520d40ba6086e8fa29965e4efb63b3e3286d5cc8940e3e24b1db6cd91ba546","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.TR","submitted_at":"2011-11-30T10:00:20Z","title_canon_sha256":"6d528c192370681a806f01c03c7173adb3dc37d22e8b638f62f5c9be054349d3"},"schema_version":"1.0","source":{"id":"1111.7103","kind":"arxiv","version":2}},"canonical_sha256":"29a28de33c5163b5dffaf6dbde82e9b7c72fdd21a520ac7995e72e6cec751705","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"29a28de33c5163b5dffaf6dbde82e9b7c72fdd21a520ac7995e72e6cec751705","first_computed_at":"2026-05-18T04:04:18.598697Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-18T04:04:18.598697Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"ZqK1ns/46+ze5h/y3g639Ao1H0/tOhFsGSmOBmGHRbdEGqekhrKMRpp2yKZuemEh6M2pA6BZJHQBAhuaoVy2Cw==","signature_status":"signed_v1","signed_at":"2026-05-18T04:04:18.599293Z","signed_message":"canonical_sha256_bytes"},"source_id":"1111.7103","source_kind":"arxiv","source_version":2}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:77a884d5c73149efd8b0e065c10a5c9ef47b81b8ca71440ee0bd957eb7ddb800","sha256:c9903b1767a77a143351512671d9b76fcbc430d3091c14ff0a0bc59c3ab3cddf"],"state_sha256":"1a06c1062eea7a02dacd832d0d19a8f33945d814e0e318cdddcd87356ce15a3f"}