{"bundle_type":"pith_open_graph_bundle","bundle_version":"1.0","pith_number":"pith:2015:WCKJOTLHDJXK2WKS2BV3PODZWJ","short_pith_number":"pith:WCKJOTLH","canonical_record":{"source":{"id":"1504.03934","kind":"arxiv","version":2},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.ST","submitted_at":"2015-04-15T14:54:15Z","cross_cats_sorted":["q-fin.PM","stat.AP"],"title_canon_sha256":"1c601c464045dde8f94c4f2fb70ce33cf12901084279006fc1e870106c467771","abstract_canon_sha256":"990c21cd086ec6c224749046172e4e6a8c679d9e3ad9b1a5ae3ca2dccf62d063"},"schema_version":"1.0"},"canonical_sha256":"b094974d671a6ead5952d06bb7b879b26be5c95304ea440cf06f336860e2b4f3","source":{"kind":"arxiv","id":"1504.03934","version":2},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1504.03934","created_at":"2026-05-18T02:18:23Z"},{"alias_kind":"arxiv_version","alias_value":"1504.03934v2","created_at":"2026-05-18T02:18:23Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1504.03934","created_at":"2026-05-18T02:18:23Z"},{"alias_kind":"pith_short_12","alias_value":"WCKJOTLHDJXK","created_at":"2026-05-18T12:29:47Z"},{"alias_kind":"pith_short_16","alias_value":"WCKJOTLHDJXK2WKS","created_at":"2026-05-18T12:29:47Z"},{"alias_kind":"pith_short_8","alias_value":"WCKJOTLH","created_at":"2026-05-18T12:29:47Z"}],"events":[{"event_type":"record_created","subject_pith_number":"pith:2015:WCKJOTLHDJXK2WKS2BV3PODZWJ","target":"record","payload":{"canonical_record":{"source":{"id":"1504.03934","kind":"arxiv","version":2},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.ST","submitted_at":"2015-04-15T14:54:15Z","cross_cats_sorted":["q-fin.PM","stat.AP"],"title_canon_sha256":"1c601c464045dde8f94c4f2fb70ce33cf12901084279006fc1e870106c467771","abstract_canon_sha256":"990c21cd086ec6c224749046172e4e6a8c679d9e3ad9b1a5ae3ca2dccf62d063"},"schema_version":"1.0"},"canonical_sha256":"b094974d671a6ead5952d06bb7b879b26be5c95304ea440cf06f336860e2b4f3","receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T02:18:23.169346Z","signature_b64":"WK919WezOb6dGcd7/OJ9LyymMqbNAjX2RV7vnUb5sulXpej2nKtY7B9iTQr39y2XsSmVWFJX342hQ6RINYViCg==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"b094974d671a6ead5952d06bb7b879b26be5c95304ea440cf06f336860e2b4f3","last_reissued_at":"2026-05-18T02:18:23.168682Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T02:18:23.168682Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"source_kind":"arxiv","source_id":"1504.03934","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":"2026-05-18T02:18:23Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"oR56prSNhfrrcjAvS3i3Lh1naDIMJY+V1jhK2Wn/dCuf9sf57siGW9BBCsqYJC5LLSk1me2vjqL8uW+iTbz3Ag==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-06-02T13:13:13.033341Z"},"content_sha256":"c30dd47291ae1badd33b1625da30000d8de6ccaccc13cd791aaeab028a275bac","schema_version":"1.0","event_id":"sha256:c30dd47291ae1badd33b1625da30000d8de6ccaccc13cd791aaeab028a275bac"},{"event_type":"graph_snapshot","subject_pith_number":"pith:2015:WCKJOTLHDJXK2WKS2BV3PODZWJ","target":"graph","payload":{"graph_snapshot":{"paper":{"title":"Forecasting trends with asset prices","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.PM","stat.AP"],"primary_cat":"q-fin.ST","authors_text":"Ahmed Bel Hadj Ayed, Fr\\'ed\\'eric Abergel, Gr\\'egoire Loeper","submitted_at":"2015-04-15T14:54:15Z","abstract_excerpt":"In this paper, we consider a stochastic asset price model where the trend is an unobservable Ornstein Uhlenbeck process. We first review some classical results from Kalman filtering. Expectedly, the choice of the parameters is crucial to put it into practice. For this purpose, we obtain the likelihood in closed form, and provide two on-line computations of this function. Then, we investigate the asymptotic behaviour of statistical estimators. Finally, we quantify the effect of a bad calibration with the continuous time mis-specified Kalman filter. Numerical examples illustrate the difficulty o"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1504.03934","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":"2026-05-18T02:18:23Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"baL6YiG6YAoxpe24v4fzhA3qgLPgwbhVdprNHr9u0JXYif1QFigHA31+4wme9xlt5zgbZx2FhS2w4ecx+GyBAw==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-06-02T13:13:13.033955Z"},"content_sha256":"d3caa742c47731bcde75f4f3737c2b1ab190b763492773465b3429c503de6940","schema_version":"1.0","event_id":"sha256:d3caa742c47731bcde75f4f3737c2b1ab190b763492773465b3429c503de6940"}],"timestamp_proofs":[],"mirror_hints":[{"mirror_type":"https","name":"Pith Resolver","base_url":"https://pith.science","bundle_url":"https://pith.science/pith/WCKJOTLHDJXK2WKS2BV3PODZWJ/bundle.json","state_url":"https://pith.science/pith/WCKJOTLHDJXK2WKS2BV3PODZWJ/state.json","well_known_bundle_url":"https://pith.science/.well-known/pith/WCKJOTLHDJXK2WKS2BV3PODZWJ/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":"2026-06-02T13:13:13Z","links":{"resolver":"https://pith.science/pith/WCKJOTLHDJXK2WKS2BV3PODZWJ","bundle":"https://pith.science/pith/WCKJOTLHDJXK2WKS2BV3PODZWJ/bundle.json","state":"https://pith.science/pith/WCKJOTLHDJXK2WKS2BV3PODZWJ/state.json","well_known_bundle":"https://pith.science/.well-known/pith/WCKJOTLHDJXK2WKS2BV3PODZWJ/bundle.json"},"state":{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2015:WCKJOTLHDJXK2WKS2BV3PODZWJ","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":"990c21cd086ec6c224749046172e4e6a8c679d9e3ad9b1a5ae3ca2dccf62d063","cross_cats_sorted":["q-fin.PM","stat.AP"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.ST","submitted_at":"2015-04-15T14:54:15Z","title_canon_sha256":"1c601c464045dde8f94c4f2fb70ce33cf12901084279006fc1e870106c467771"},"schema_version":"1.0","source":{"id":"1504.03934","kind":"arxiv","version":2}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1504.03934","created_at":"2026-05-18T02:18:23Z"},{"alias_kind":"arxiv_version","alias_value":"1504.03934v2","created_at":"2026-05-18T02:18:23Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1504.03934","created_at":"2026-05-18T02:18:23Z"},{"alias_kind":"pith_short_12","alias_value":"WCKJOTLHDJXK","created_at":"2026-05-18T12:29:47Z"},{"alias_kind":"pith_short_16","alias_value":"WCKJOTLHDJXK2WKS","created_at":"2026-05-18T12:29:47Z"},{"alias_kind":"pith_short_8","alias_value":"WCKJOTLH","created_at":"2026-05-18T12:29:47Z"}],"graph_snapshots":[{"event_id":"sha256:d3caa742c47731bcde75f4f3737c2b1ab190b763492773465b3429c503de6940","target":"graph","created_at":"2026-05-18T02:18:23Z","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 this paper, we consider a stochastic asset price model where the trend is an unobservable Ornstein Uhlenbeck process. We first review some classical results from Kalman filtering. Expectedly, the choice of the parameters is crucial to put it into practice. For this purpose, we obtain the likelihood in closed form, and provide two on-line computations of this function. Then, we investigate the asymptotic behaviour of statistical estimators. Finally, we quantify the effect of a bad calibration with the continuous time mis-specified Kalman filter. Numerical examples illustrate the difficulty o","authors_text":"Ahmed Bel Hadj Ayed, Fr\\'ed\\'eric Abergel, Gr\\'egoire Loeper","cross_cats":["q-fin.PM","stat.AP"],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.ST","submitted_at":"2015-04-15T14:54:15Z","title":"Forecasting trends with asset prices"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1504.03934","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:c30dd47291ae1badd33b1625da30000d8de6ccaccc13cd791aaeab028a275bac","target":"record","created_at":"2026-05-18T02:18:23Z","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":"990c21cd086ec6c224749046172e4e6a8c679d9e3ad9b1a5ae3ca2dccf62d063","cross_cats_sorted":["q-fin.PM","stat.AP"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.ST","submitted_at":"2015-04-15T14:54:15Z","title_canon_sha256":"1c601c464045dde8f94c4f2fb70ce33cf12901084279006fc1e870106c467771"},"schema_version":"1.0","source":{"id":"1504.03934","kind":"arxiv","version":2}},"canonical_sha256":"b094974d671a6ead5952d06bb7b879b26be5c95304ea440cf06f336860e2b4f3","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"b094974d671a6ead5952d06bb7b879b26be5c95304ea440cf06f336860e2b4f3","first_computed_at":"2026-05-18T02:18:23.168682Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-18T02:18:23.168682Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"WK919WezOb6dGcd7/OJ9LyymMqbNAjX2RV7vnUb5sulXpej2nKtY7B9iTQr39y2XsSmVWFJX342hQ6RINYViCg==","signature_status":"signed_v1","signed_at":"2026-05-18T02:18:23.169346Z","signed_message":"canonical_sha256_bytes"},"source_id":"1504.03934","source_kind":"arxiv","source_version":2}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:c30dd47291ae1badd33b1625da30000d8de6ccaccc13cd791aaeab028a275bac","sha256:d3caa742c47731bcde75f4f3737c2b1ab190b763492773465b3429c503de6940"],"state_sha256":"c2d8784113b0c4efffa896e570d1612fe145e9de918b93da9c7641774d89be54"},"bundle_signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"SkmS4ZWbRZO5FVm318dsAvuSSuZjUvrCooGhu+11Jx1/G8XStI+rdfNrUe01ogqKaJYr5cZn0j1V5glSE4i+CQ==","signed_message":"bundle_sha256_bytes","signed_at":"2026-06-02T13:13:13.036520Z","bundle_sha256":"aa1ddb2772216c685916689deeb5934928cd0d29f6e82066e92ecdb79509b984"}}