{"bundle_type":"pith_open_graph_bundle","bundle_version":"1.0","pith_number":"pith:2013:VEJTWJDLHUFMP4MO2UHFAEKDRP","short_pith_number":"pith:VEJTWJDL","canonical_record":{"source":{"id":"1301.6141","kind":"arxiv","version":2},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.ST","submitted_at":"2013-01-25T19:47:34Z","cross_cats_sorted":[],"title_canon_sha256":"139e432e92b421e67db1ddbdbe8a22214dc129f09302e1d2cbe3bf887ff636cf","abstract_canon_sha256":"a0eea274135112f918c768b31bce8b74f61c0fc36e3fec91ad8ce1f6c9683442"},"schema_version":"1.0"},"canonical_sha256":"a9133b246b3d0ac7f18ed50e5011438be0f28f4971ca1bdcb5601d1c6370a6f9","source":{"kind":"arxiv","id":"1301.6141","version":2},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1301.6141","created_at":"2026-05-18T03:31:20Z"},{"alias_kind":"arxiv_version","alias_value":"1301.6141v2","created_at":"2026-05-18T03:31:20Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1301.6141","created_at":"2026-05-18T03:31:20Z"},{"alias_kind":"pith_short_12","alias_value":"VEJTWJDLHUFM","created_at":"2026-05-18T12:28:04Z"},{"alias_kind":"pith_short_16","alias_value":"VEJTWJDLHUFMP4MO","created_at":"2026-05-18T12:28:04Z"},{"alias_kind":"pith_short_8","alias_value":"VEJTWJDL","created_at":"2026-05-18T12:28:04Z"}],"events":[{"event_type":"record_created","subject_pith_number":"pith:2013:VEJTWJDLHUFMP4MO2UHFAEKDRP","target":"record","payload":{"canonical_record":{"source":{"id":"1301.6141","kind":"arxiv","version":2},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.ST","submitted_at":"2013-01-25T19:47:34Z","cross_cats_sorted":[],"title_canon_sha256":"139e432e92b421e67db1ddbdbe8a22214dc129f09302e1d2cbe3bf887ff636cf","abstract_canon_sha256":"a0eea274135112f918c768b31bce8b74f61c0fc36e3fec91ad8ce1f6c9683442"},"schema_version":"1.0"},"canonical_sha256":"a9133b246b3d0ac7f18ed50e5011438be0f28f4971ca1bdcb5601d1c6370a6f9","receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T03:31:20.386240Z","signature_b64":"fW34CIK/MK4ziBNoOo1WlvR2tXng4VseEzseHOg2aa3i2bvEaueS2RV6DGhGs6wEkZr3k/AqIJ22+EuiK7JBBQ==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"a9133b246b3d0ac7f18ed50e5011438be0f28f4971ca1bdcb5601d1c6370a6f9","last_reissued_at":"2026-05-18T03:31:20.385449Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T03:31:20.385449Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"source_kind":"arxiv","source_id":"1301.6141","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":"2026-05-18T03:31:20Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"6LFVoaCKY+81OOVTXVGskVThxG6ky1lQS5/o4u2amvRhMV3kr8UzW0n7uoOj9v344/gY6ZqHrmomAfPfeUtBBw==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-05-28T05:08:25.391628Z"},"content_sha256":"7531c9072e4c879fba48ecc44eef6de51b14e484b1b0dec26e08875a5cb0c31d","schema_version":"1.0","event_id":"sha256:7531c9072e4c879fba48ecc44eef6de51b14e484b1b0dec26e08875a5cb0c31d"},{"event_type":"graph_snapshot","subject_pith_number":"pith:2013:VEJTWJDLHUFMP4MO2UHFAEKDRP","target":"graph","payload":{"graph_snapshot":{"paper":{"title":"Modelling systemic price cojumps with Hawkes factor models","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.ST","authors_text":"Fabrizio Lillo, Fulvio Corsi, Giacomo Bormetti, Lucio Maria Calcagnile, Michele Treccani, Stefano Marmi","submitted_at":"2013-01-25T19:47:34Z","abstract_excerpt":"Instabilities in the price dynamics of a large number of financial assets are a clear sign of systemic events. By investigating a set of 20 high cap stocks traded at the Italian Stock Exchange, we find that there is a large number of high frequency cojumps. We show that the dynamics of these jumps is described neither by a multivariate Poisson nor by a multivariate Hawkes model. We introduce a Hawkes one factor model which is able to capture simultaneously the time clustering of jumps and the high synchronization of jumps across assets."},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1301.6141","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":"2026-05-18T03:31:20Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"+A57fsdQirUDKUmnxlolSwOb12kCcyuSIGrwKS1YXIhm2zFvnOWFaIQyp5qLoFcEgSIb620vfY/GTNvHLy1lAg==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-05-28T05:08:25.391974Z"},"content_sha256":"662dd25ea9800bb0472f205a16cb0bca239350d2fbf503c3d962880a342d8f1b","schema_version":"1.0","event_id":"sha256:662dd25ea9800bb0472f205a16cb0bca239350d2fbf503c3d962880a342d8f1b"}],"timestamp_proofs":[],"mirror_hints":[{"mirror_type":"https","name":"Pith Resolver","base_url":"https://pith.science","bundle_url":"https://pith.science/pith/VEJTWJDLHUFMP4MO2UHFAEKDRP/bundle.json","state_url":"https://pith.science/pith/VEJTWJDLHUFMP4MO2UHFAEKDRP/state.json","well_known_bundle_url":"https://pith.science/.well-known/pith/VEJTWJDLHUFMP4MO2UHFAEKDRP/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":"2026-05-28T05:08:25Z","links":{"resolver":"https://pith.science/pith/VEJTWJDLHUFMP4MO2UHFAEKDRP","bundle":"https://pith.science/pith/VEJTWJDLHUFMP4MO2UHFAEKDRP/bundle.json","state":"https://pith.science/pith/VEJTWJDLHUFMP4MO2UHFAEKDRP/state.json","well_known_bundle":"https://pith.science/.well-known/pith/VEJTWJDLHUFMP4MO2UHFAEKDRP/bundle.json"},"state":{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2013:VEJTWJDLHUFMP4MO2UHFAEKDRP","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":"a0eea274135112f918c768b31bce8b74f61c0fc36e3fec91ad8ce1f6c9683442","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.ST","submitted_at":"2013-01-25T19:47:34Z","title_canon_sha256":"139e432e92b421e67db1ddbdbe8a22214dc129f09302e1d2cbe3bf887ff636cf"},"schema_version":"1.0","source":{"id":"1301.6141","kind":"arxiv","version":2}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1301.6141","created_at":"2026-05-18T03:31:20Z"},{"alias_kind":"arxiv_version","alias_value":"1301.6141v2","created_at":"2026-05-18T03:31:20Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1301.6141","created_at":"2026-05-18T03:31:20Z"},{"alias_kind":"pith_short_12","alias_value":"VEJTWJDLHUFM","created_at":"2026-05-18T12:28:04Z"},{"alias_kind":"pith_short_16","alias_value":"VEJTWJDLHUFMP4MO","created_at":"2026-05-18T12:28:04Z"},{"alias_kind":"pith_short_8","alias_value":"VEJTWJDL","created_at":"2026-05-18T12:28:04Z"}],"graph_snapshots":[{"event_id":"sha256:662dd25ea9800bb0472f205a16cb0bca239350d2fbf503c3d962880a342d8f1b","target":"graph","created_at":"2026-05-18T03:31:20Z","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":"Instabilities in the price dynamics of a large number of financial assets are a clear sign of systemic events. By investigating a set of 20 high cap stocks traded at the Italian Stock Exchange, we find that there is a large number of high frequency cojumps. We show that the dynamics of these jumps is described neither by a multivariate Poisson nor by a multivariate Hawkes model. We introduce a Hawkes one factor model which is able to capture simultaneously the time clustering of jumps and the high synchronization of jumps across assets.","authors_text":"Fabrizio Lillo, Fulvio Corsi, Giacomo Bormetti, Lucio Maria Calcagnile, Michele Treccani, Stefano Marmi","cross_cats":[],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.ST","submitted_at":"2013-01-25T19:47:34Z","title":"Modelling systemic price cojumps with Hawkes factor models"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1301.6141","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":"sha256:7531c9072e4c879fba48ecc44eef6de51b14e484b1b0dec26e08875a5cb0c31d","target":"record","created_at":"2026-05-18T03:31:20Z","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":"a0eea274135112f918c768b31bce8b74f61c0fc36e3fec91ad8ce1f6c9683442","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.ST","submitted_at":"2013-01-25T19:47:34Z","title_canon_sha256":"139e432e92b421e67db1ddbdbe8a22214dc129f09302e1d2cbe3bf887ff636cf"},"schema_version":"1.0","source":{"id":"1301.6141","kind":"arxiv","version":2}},"canonical_sha256":"a9133b246b3d0ac7f18ed50e5011438be0f28f4971ca1bdcb5601d1c6370a6f9","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"a9133b246b3d0ac7f18ed50e5011438be0f28f4971ca1bdcb5601d1c6370a6f9","first_computed_at":"2026-05-18T03:31:20.385449Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-18T03:31:20.385449Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"fW34CIK/MK4ziBNoOo1WlvR2tXng4VseEzseHOg2aa3i2bvEaueS2RV6DGhGs6wEkZr3k/AqIJ22+EuiK7JBBQ==","signature_status":"signed_v1","signed_at":"2026-05-18T03:31:20.386240Z","signed_message":"canonical_sha256_bytes"},"source_id":"1301.6141","source_kind":"arxiv","source_version":2}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:7531c9072e4c879fba48ecc44eef6de51b14e484b1b0dec26e08875a5cb0c31d","sha256:662dd25ea9800bb0472f205a16cb0bca239350d2fbf503c3d962880a342d8f1b"],"state_sha256":"db16198a1952e683ce8d9e7e1da49884b3c4ff868cea84a8e23cf2f0a84a651a"},"bundle_signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"OFCvDaBfeJyjK+Pwy4cVZ2WsJr8XyTlGIi+Emjk2UAjUYQcqdFQk3gdf0kGtHii8ocZzmj7VmOn5iWb9cuW4Cw==","signed_message":"bundle_sha256_bytes","signed_at":"2026-05-28T05:08:25.393966Z","bundle_sha256":"19ee31a9f120f723dc3dc6a94065ace4e7892ca9a66bfdd817ad147a1bbe0126"}}