{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2018:J4CUAFQANRX6W3EREM66X674TK","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":"910c942fd57fdfc3c7d2eea4944170e2366ea2be84d96c990ac203e9b1cb95b0","cross_cats_sorted":["q-fin.GN"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.ST","submitted_at":"2018-10-29T15:41:37Z","title_canon_sha256":"a70daeb9d04c81d4faa62d15ca336ea63d0fb46a81230b1bc4397b87269f27c6"},"schema_version":"1.0","source":{"id":"1810.12200","kind":"arxiv","version":1}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1810.12200","created_at":"2026-05-18T00:02:03Z"},{"alias_kind":"arxiv_version","alias_value":"1810.12200v1","created_at":"2026-05-18T00:02:03Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1810.12200","created_at":"2026-05-18T00:02:03Z"},{"alias_kind":"pith_short_12","alias_value":"J4CUAFQANRX6","created_at":"2026-05-18T12:32:31Z"},{"alias_kind":"pith_short_16","alias_value":"J4CUAFQANRX6W3ER","created_at":"2026-05-18T12:32:31Z"},{"alias_kind":"pith_short_8","alias_value":"J4CUAFQA","created_at":"2026-05-18T12:32:31Z"}],"graph_snapshots":[{"event_id":"sha256:813c109deb9a893aefbe017ca61b2fdaaa6f80304af57dd26c0fba32d64b6fc3","target":"graph","created_at":"2026-05-18T00:02:03Z","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 informationally efficient financial markets, option prices and this implied volatility should immediately be adjusted to new information that arrives along with a jump in underlying's return, whereas gradual changes in implied volatility would indicate market inefficiency. Using minute-by-minute data on S&P 500 index options, we provide evidence regarding delayed and gradual movements in implied volatility after the arrival of return jumps. These movements are directed and persistent, especially in the case of negative return jumps. Our results are significant when the implied volatilities ","authors_text":"Juho Kanniainen, Martin Magris","cross_cats":["q-fin.GN"],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.ST","submitted_at":"2018-10-29T15:41:37Z","title":"Option market (in)efficiency and implied volatility dynamics after return jumps"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1810.12200","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":"sha256:6a56c050ed496567dc1668b5d15c739a3ff9bc7d8fa94b5cb9b041fde3b83ea0","target":"record","created_at":"2026-05-18T00:02:03Z","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":"910c942fd57fdfc3c7d2eea4944170e2366ea2be84d96c990ac203e9b1cb95b0","cross_cats_sorted":["q-fin.GN"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.ST","submitted_at":"2018-10-29T15:41:37Z","title_canon_sha256":"a70daeb9d04c81d4faa62d15ca336ea63d0fb46a81230b1bc4397b87269f27c6"},"schema_version":"1.0","source":{"id":"1810.12200","kind":"arxiv","version":1}},"canonical_sha256":"4f054016006c6feb6c91233debfbfc9a8a3204494d3bf28fbbf597a2ff0381a3","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"4f054016006c6feb6c91233debfbfc9a8a3204494d3bf28fbbf597a2ff0381a3","first_computed_at":"2026-05-18T00:02:03.953422Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-18T00:02:03.953422Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"VR/zlwgdhHrT3K374OSJPOUxHI0pf5UsD1cPfyrKfSAYKXFnELxgnLJo9KQPPSChCwg9LtcR25j6ArqS2BAoAQ==","signature_status":"signed_v1","signed_at":"2026-05-18T00:02:03.954076Z","signed_message":"canonical_sha256_bytes"},"source_id":"1810.12200","source_kind":"arxiv","source_version":1}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:6a56c050ed496567dc1668b5d15c739a3ff9bc7d8fa94b5cb9b041fde3b83ea0","sha256:813c109deb9a893aefbe017ca61b2fdaaa6f80304af57dd26c0fba32d64b6fc3"],"state_sha256":"03958983b5f51ed9dcdefb428046582a2a3cf04962a0ba1506d8182c23bc3374"}