{"bundle_type":"pith_open_graph_bundle","bundle_version":"1.0","pith_number":"pith:2018:UKDUBPFY5D3ENEQA4PKEZY3CFZ","short_pith_number":"pith:UKDUBPFY","canonical_record":{"source":{"id":"1808.07107","kind":"arxiv","version":2},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.MF","submitted_at":"2018-08-21T19:58:19Z","cross_cats_sorted":[],"title_canon_sha256":"f9221086f96a40b833d81328ef0f4e39e854b9c83a202362b38586d74b7fac8f","abstract_canon_sha256":"9ff145dbb0172de4851e1a6e6aa9e6cb887e0c3af50c0d824c698457b0ceab18"},"schema_version":"1.0"},"canonical_sha256":"a28740bcb8e8f6469200e3d44ce3622e52fbb8f283e9e5dd130c03c1d94353cf","source":{"kind":"arxiv","id":"1808.07107","version":2},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1808.07107","created_at":"2026-05-17T23:42:14Z"},{"alias_kind":"arxiv_version","alias_value":"1808.07107v2","created_at":"2026-05-17T23:42:14Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1808.07107","created_at":"2026-05-17T23:42:14Z"},{"alias_kind":"pith_short_12","alias_value":"UKDUBPFY5D3E","created_at":"2026-05-18T12:32:56Z"},{"alias_kind":"pith_short_16","alias_value":"UKDUBPFY5D3ENEQA","created_at":"2026-05-18T12:32:56Z"},{"alias_kind":"pith_short_8","alias_value":"UKDUBPFY","created_at":"2026-05-18T12:32:56Z"}],"events":[{"event_type":"record_created","subject_pith_number":"pith:2018:UKDUBPFY5D3ENEQA4PKEZY3CFZ","target":"record","payload":{"canonical_record":{"source":{"id":"1808.07107","kind":"arxiv","version":2},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.MF","submitted_at":"2018-08-21T19:58:19Z","cross_cats_sorted":[],"title_canon_sha256":"f9221086f96a40b833d81328ef0f4e39e854b9c83a202362b38586d74b7fac8f","abstract_canon_sha256":"9ff145dbb0172de4851e1a6e6aa9e6cb887e0c3af50c0d824c698457b0ceab18"},"schema_version":"1.0"},"canonical_sha256":"a28740bcb8e8f6469200e3d44ce3622e52fbb8f283e9e5dd130c03c1d94353cf","receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-17T23:42:14.014603Z","signature_b64":"dBU3mwOf9PRQvuJAx98wAC7T0aoae79fjwy/H/l7PnKnMCpD03RR9LinDnFi5H1Y09TBBPDJ8mZgoYSAb4CuAA==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"a28740bcb8e8f6469200e3d44ce3622e52fbb8f283e9e5dd130c03c1d94353cf","last_reissued_at":"2026-05-17T23:42:14.013998Z","signature_status":"signed_v1","first_computed_at":"2026-05-17T23:42:14.013998Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"source_kind":"arxiv","source_id":"1808.07107","source_version":2,"attestation_state":"computed"},"signer":{"signer_id":"pith.science","signer_type":"pith_registry","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"created_at":"2026-05-17T23:42:14Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"8w+eG2PnQAEIb4UQ+fF5rLz8PX902OUlPKjCHf3seNO450VE/QR5yNoTcR7b2cVb07Ri2moXGgEN0FiO3n9NDw==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-06-06T04:10:52.325360Z"},"content_sha256":"165a6a96b3be712f82ca68d5587ddea4f3fa988865f2b7733f3dca06fbe5ac6a","schema_version":"1.0","event_id":"sha256:165a6a96b3be712f82ca68d5587ddea4f3fa988865f2b7733f3dca06fbe5ac6a"},{"event_type":"graph_snapshot","subject_pith_number":"pith:2018:UKDUBPFY5D3ENEQA4PKEZY3CFZ","target":"graph","payload":{"graph_snapshot":{"paper":{"title":"Limit order books, diffusion approximations and reflected SPDEs: from microscopic to macroscopic models","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.MF","authors_text":"Ben Hambly, James Newbury, Jasdeep Kalsi","submitted_at":"2018-08-21T19:58:19Z","abstract_excerpt":"Motivated by a zero-intelligence approach, the aim of this paper is to connect the microscopic (discrete price and volume), mesoscopic (discrete price and continuous volume) and macroscopic (continuous price and volume) frameworks for the modelling of limit order books, with a view to providing a natural probabilistic description of their behaviour in a high to ultra high-frequency setting. Starting with a microscopic framework, we first examine the limiting behaviour of the order book process when order arrival and cancellation rates are sent to infinity and when volumes are considered to be "},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1808.07107","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"},"verdict_id":null},"signer":{"signer_id":"pith.science","signer_type":"pith_registry","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"created_at":"2026-05-17T23:42:14Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"soZlun6j7wpj8iVVpS7IzTW/UKFudQSJ11Vc6ano+g21yUT+/6Xc+m5JLE9yYY3coJehJ2Qq44nD4nFAKkflDQ==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-06-06T04:10:52.325985Z"},"content_sha256":"0f3c23af64e953b6c1649e68b1970801375b0b98536ce2bc878e8a9cf58a0ebc","schema_version":"1.0","event_id":"sha256:0f3c23af64e953b6c1649e68b1970801375b0b98536ce2bc878e8a9cf58a0ebc"}],"timestamp_proofs":[],"mirror_hints":[{"mirror_type":"https","name":"Pith Resolver","base_url":"https://pith.science","bundle_url":"https://pith.science/pith/UKDUBPFY5D3ENEQA4PKEZY3CFZ/bundle.json","state_url":"https://pith.science/pith/UKDUBPFY5D3ENEQA4PKEZY3CFZ/state.json","well_known_bundle_url":"https://pith.science/.well-known/pith/UKDUBPFY5D3ENEQA4PKEZY3CFZ/bundle.json","status":"primary"}],"public_keys":[{"key_id":"pith-v1-2026-05","algorithm":"ed25519","format":"raw","public_key_b64":"stVStoiQhXFxp4s2pdzPNoqVNBMojDU/fJ2db5S3CbM=","public_key_hex":"b2d552b68890857171a78b36a5dccf368a953413288c353f7c9d9d6f94b709b3","fingerprint_sha256_b32_first128bits":"RVFV5Z2OI2J3ZUO7ERDEBCYNKS","fingerprint_sha256_hex":"8d4b5ee74e4693bcd1df2446408b0d54","rotates_at":null,"url":"https://pith.science/pith-signing-key.json","notes":"Pith uses this Ed25519 key to sign canonical record SHA-256 digests. Verify with: ed25519_verify(public_key, message=canonical_sha256_bytes, signature=base64decode(signature_b64))."}],"merge_version":"pith-open-graph-merge-v1","built_at":"2026-06-06T04:10:52Z","links":{"resolver":"https://pith.science/pith/UKDUBPFY5D3ENEQA4PKEZY3CFZ","bundle":"https://pith.science/pith/UKDUBPFY5D3ENEQA4PKEZY3CFZ/bundle.json","state":"https://pith.science/pith/UKDUBPFY5D3ENEQA4PKEZY3CFZ/state.json","well_known_bundle":"https://pith.science/.well-known/pith/UKDUBPFY5D3ENEQA4PKEZY3CFZ/bundle.json"},"state":{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2018:UKDUBPFY5D3ENEQA4PKEZY3CFZ","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":"9ff145dbb0172de4851e1a6e6aa9e6cb887e0c3af50c0d824c698457b0ceab18","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.MF","submitted_at":"2018-08-21T19:58:19Z","title_canon_sha256":"f9221086f96a40b833d81328ef0f4e39e854b9c83a202362b38586d74b7fac8f"},"schema_version":"1.0","source":{"id":"1808.07107","kind":"arxiv","version":2}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1808.07107","created_at":"2026-05-17T23:42:14Z"},{"alias_kind":"arxiv_version","alias_value":"1808.07107v2","created_at":"2026-05-17T23:42:14Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1808.07107","created_at":"2026-05-17T23:42:14Z"},{"alias_kind":"pith_short_12","alias_value":"UKDUBPFY5D3E","created_at":"2026-05-18T12:32:56Z"},{"alias_kind":"pith_short_16","alias_value":"UKDUBPFY5D3ENEQA","created_at":"2026-05-18T12:32:56Z"},{"alias_kind":"pith_short_8","alias_value":"UKDUBPFY","created_at":"2026-05-18T12:32:56Z"}],"graph_snapshots":[{"event_id":"sha256:0f3c23af64e953b6c1649e68b1970801375b0b98536ce2bc878e8a9cf58a0ebc","target":"graph","created_at":"2026-05-17T23:42:14Z","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":"Motivated by a zero-intelligence approach, the aim of this paper is to connect the microscopic (discrete price and volume), mesoscopic (discrete price and continuous volume) and macroscopic (continuous price and volume) frameworks for the modelling of limit order books, with a view to providing a natural probabilistic description of their behaviour in a high to ultra high-frequency setting. Starting with a microscopic framework, we first examine the limiting behaviour of the order book process when order arrival and cancellation rates are sent to infinity and when volumes are considered to be ","authors_text":"Ben Hambly, James Newbury, Jasdeep Kalsi","cross_cats":[],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.MF","submitted_at":"2018-08-21T19:58:19Z","title":"Limit order books, diffusion approximations and reflected SPDEs: from microscopic to macroscopic models"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1808.07107","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":"sha256:165a6a96b3be712f82ca68d5587ddea4f3fa988865f2b7733f3dca06fbe5ac6a","target":"record","created_at":"2026-05-17T23:42:14Z","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":"9ff145dbb0172de4851e1a6e6aa9e6cb887e0c3af50c0d824c698457b0ceab18","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.MF","submitted_at":"2018-08-21T19:58:19Z","title_canon_sha256":"f9221086f96a40b833d81328ef0f4e39e854b9c83a202362b38586d74b7fac8f"},"schema_version":"1.0","source":{"id":"1808.07107","kind":"arxiv","version":2}},"canonical_sha256":"a28740bcb8e8f6469200e3d44ce3622e52fbb8f283e9e5dd130c03c1d94353cf","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"a28740bcb8e8f6469200e3d44ce3622e52fbb8f283e9e5dd130c03c1d94353cf","first_computed_at":"2026-05-17T23:42:14.013998Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-17T23:42:14.013998Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"dBU3mwOf9PRQvuJAx98wAC7T0aoae79fjwy/H/l7PnKnMCpD03RR9LinDnFi5H1Y09TBBPDJ8mZgoYSAb4CuAA==","signature_status":"signed_v1","signed_at":"2026-05-17T23:42:14.014603Z","signed_message":"canonical_sha256_bytes"},"source_id":"1808.07107","source_kind":"arxiv","source_version":2}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:165a6a96b3be712f82ca68d5587ddea4f3fa988865f2b7733f3dca06fbe5ac6a","sha256:0f3c23af64e953b6c1649e68b1970801375b0b98536ce2bc878e8a9cf58a0ebc"],"state_sha256":"1145733256a516e25df57d60ce50293afd64db6b592ffaa1f394654c5c0e0493"},"bundle_signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"TozdIeUgOSICFr9kwQ98kdM/8JJ0dXQ2VDO0LolwHj+iHA0n7C8YT9LRZL/sfe8Nvy8L3PII1ZdiLvWV2KaWBA==","signed_message":"bundle_sha256_bytes","signed_at":"2026-06-06T04:10:52.329208Z","bundle_sha256":"391ebe58b53e179c748cf298c7811bf2b804108fc5279b48c3dd10a8cd622344"}}