{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2019:QAZE5RQPRVL6HU462NIFP2VLCU","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":"9cbc435fdfdd9ad6c620a334ff3f5a53a87060068ba0268efbeb2d080d767141","cross_cats_sorted":["math.OC","math.PR"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PM","submitted_at":"2019-08-06T13:49:27Z","title_canon_sha256":"31b591717771b5bb70f9d4efe0fd26c9fb213a4c4340a6872002c2991d307e38"},"schema_version":"1.0","source":{"id":"1908.02164","kind":"arxiv","version":5}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1908.02164","created_at":"2026-07-05T03:54:39Z"},{"alias_kind":"arxiv_version","alias_value":"1908.02164v5","created_at":"2026-07-05T03:54:39Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1908.02164","created_at":"2026-07-05T03:54:39Z"},{"alias_kind":"pith_short_12","alias_value":"QAZE5RQPRVL6","created_at":"2026-07-05T03:54:39Z"},{"alias_kind":"pith_short_16","alias_value":"QAZE5RQPRVL6HU46","created_at":"2026-07-05T03:54:39Z"},{"alias_kind":"pith_short_8","alias_value":"QAZE5RQP","created_at":"2026-07-05T03:54:39Z"}],"graph_snapshots":[{"event_id":"sha256:7ecd334c19ce47331e129c5d35380dc3b136e126583b4d25fa66abc47935c2c2","target":"graph","created_at":"2026-07-05T03:54:39Z","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"},"integrity":{"available":true,"clean":true,"detectors_run":[],"endpoint":"/pith/1908.02164/integrity.json","findings":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938","summary":{"advisory":0,"by_detector":{},"critical":0,"informational":0}},"paper":{"abstract_excerpt":"In this article, we analyse optimal statistical arbitrage strategies from stochastic control and optimisation problems for multiple co-integrated stocks with eigenportfolios being factors. Optimal portfolio weights are found by solving a Hamilton-Jacobi-Bellman (HJB) partial differential equation, which we solve for both an unconstrained portfolio and a portfolio constrained to be market neutral. Our analyses demonstrate sufficient conditions on the model parameters to ensure long-term stability of the HJB solutions and stable growth rates for the optimal portfolios. To gauge how these optimal","authors_text":"A. Papanicolaou, T. N. Li","cross_cats":["math.OC","math.PR"],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PM","submitted_at":"2019-08-06T13:49:27Z","title":"Statistical Arbitrage for Multiple Co-Integrated Stocks"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1908.02164","kind":"arxiv","version":5},"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":"sha256:0d141cac67f7100ee52e1a531a12c4a3b2e9338a6ea9334df6ed693167d2a867","target":"record","created_at":"2026-07-05T03:54:39Z","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":"9cbc435fdfdd9ad6c620a334ff3f5a53a87060068ba0268efbeb2d080d767141","cross_cats_sorted":["math.OC","math.PR"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PM","submitted_at":"2019-08-06T13:49:27Z","title_canon_sha256":"31b591717771b5bb70f9d4efe0fd26c9fb213a4c4340a6872002c2991d307e38"},"schema_version":"1.0","source":{"id":"1908.02164","kind":"arxiv","version":5}},"canonical_sha256":"80324ec60f8d57e3d39ed35057eaab1533bc966f2e2cf7f20df3c9d05bd9a291","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"80324ec60f8d57e3d39ed35057eaab1533bc966f2e2cf7f20df3c9d05bd9a291","first_computed_at":"2026-07-05T03:54:39.438292Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-07-05T03:54:39.438292Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"cA/zu2JkkUKOc/22VkeW2BywY8PNw9OngnDxgJqnqr6ItaWR8houLySG3MyeQBK1fgKcS66gxWwy5cuWo+DDDw==","signature_status":"signed_v1","signed_at":"2026-07-05T03:54:39.438853Z","signed_message":"canonical_sha256_bytes"},"source_id":"1908.02164","source_kind":"arxiv","source_version":5}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:0d141cac67f7100ee52e1a531a12c4a3b2e9338a6ea9334df6ed693167d2a867","sha256:7ecd334c19ce47331e129c5d35380dc3b136e126583b4d25fa66abc47935c2c2"],"state_sha256":"56b2a29d8a7d75b3d9d34268804bc918a398c25bb036c9bd9bb096f0546cb495"}