{"record_type":"pith_number_record","schema_url":"https://pith.science/schemas/pith-number/v1.json","pith_number":"pith:2022:WQIOKM5WBTJ5AEMNAUWXHEC2B5","short_pith_number":"pith:WQIOKM5W","schema_version":"1.0","canonical_sha256":"b410e533b60cd3d0118d052d73905a0f7b20f8a6a84f1821710f25b9e3424587","source":{"kind":"arxiv","id":"2210.15448","version":2},"attestation_state":"computed","paper":{"title":"Neural Augmented Kalman Filtering with Bollinger Bands for Pairs Trading","license":"http://creativecommons.org/licenses/by/4.0/","headline":"","cross_cats":["cs.LG","eess.SP"],"primary_cat":"q-fin.TR","authors_text":"Amit Milstein, Guy Revach, Hai Morgenstern, Haoran Deng, Nir Shlezinger","submitted_at":"2022-10-19T15:04:44Z","abstract_excerpt":"Pairs trading is a family of trading techniques that determine their policies based on monitoring the relationships between pairs of assets. A common pairs trading approach relies on describing the pair-wise relationship as a linear Space State (SS) model with Gaussian noise. This representation facilitates extracting financial indicators with low complexity and latency using a Kalman Filter (KF), that are then processed using classic policies such as Bollinger Bands (BB). However, such SS models are inherently approximated and mismatched, often degrading the revenue. In this work, we propose "},"verification_status":{"content_addressed":true,"pith_receipt":true,"author_attested":false,"weak_author_claims":0,"strong_author_claims":0,"externally_anchored":false,"storage_verified":false,"citation_signatures":0,"replication_records":0,"graph_snapshot":true,"references_resolved":false,"formal_links_present":false},"canonical_record":{"source":{"id":"2210.15448","kind":"arxiv","version":2},"metadata":{"license":"http://creativecommons.org/licenses/by/4.0/","primary_cat":"q-fin.TR","submitted_at":"2022-10-19T15:04:44Z","cross_cats_sorted":["cs.LG","eess.SP"],"title_canon_sha256":"744810f90ed3320d7cf2677b627c0d0dd3ce06646d14a4444ca2243b80a6f0f1","abstract_canon_sha256":"5f4d29f54b8be765d8d842c4afd6c960c80a750703eda4741627e3bb99f7b2a7"},"schema_version":"1.0"},"receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-07-05T06:46:44.472556Z","signature_b64":"xrLKLRqB3z1slPU/XcGyov9YLUTrdVXFlgTvDPjTKFsbd+m8GV3F5R2EdfKdP/x7LXg3JBTi3bpU4IsFYQS+DA==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"b410e533b60cd3d0118d052d73905a0f7b20f8a6a84f1821710f25b9e3424587","last_reissued_at":"2026-07-05T06:46:44.472043Z","signature_status":"signed_v1","first_computed_at":"2026-07-05T06:46:44.472043Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"graph_snapshot":{"paper":{"title":"Neural Augmented Kalman Filtering with Bollinger Bands for Pairs Trading","license":"http://creativecommons.org/licenses/by/4.0/","headline":"","cross_cats":["cs.LG","eess.SP"],"primary_cat":"q-fin.TR","authors_text":"Amit Milstein, Guy Revach, Hai Morgenstern, Haoran Deng, Nir Shlezinger","submitted_at":"2022-10-19T15:04:44Z","abstract_excerpt":"Pairs trading is a family of trading techniques that determine their policies based on monitoring the relationships between pairs of assets. A common pairs trading approach relies on describing the pair-wise relationship as a linear Space State (SS) model with Gaussian noise. This representation facilitates extracting financial indicators with low complexity and latency using a Kalman Filter (KF), that are then processed using classic policies such as Bollinger Bands (BB). However, such SS models are inherently approximated and mismatched, often degrading the revenue. In this work, we propose "},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2210.15448","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":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2210.15448/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"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"},"aliases":[{"alias_kind":"arxiv","alias_value":"2210.15448","created_at":"2026-07-05T06:46:44.472110+00:00"},{"alias_kind":"arxiv_version","alias_value":"2210.15448v2","created_at":"2026-07-05T06:46:44.472110+00:00"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.2210.15448","created_at":"2026-07-05T06:46:44.472110+00:00"},{"alias_kind":"pith_short_12","alias_value":"WQIOKM5WBTJ5","created_at":"2026-07-05T06:46:44.472110+00:00"},{"alias_kind":"pith_short_16","alias_value":"WQIOKM5WBTJ5AEMN","created_at":"2026-07-05T06:46:44.472110+00:00"},{"alias_kind":"pith_short_8","alias_value":"WQIOKM5W","created_at":"2026-07-05T06:46:44.472110+00:00"}],"events":[],"event_summary":{},"paper_claims":[],"inbound_citations":{"count":0,"internal_anchor_count":0,"sample":[]},"formal_canon":{"evidence_count":0,"sample":[],"anchors":[]},"links":{"html":"https://pith.science/pith/WQIOKM5WBTJ5AEMNAUWXHEC2B5","json":"https://pith.science/pith/WQIOKM5WBTJ5AEMNAUWXHEC2B5.json","graph_json":"https://pith.science/api/pith-number/WQIOKM5WBTJ5AEMNAUWXHEC2B5/graph.json","events_json":"https://pith.science/api/pith-number/WQIOKM5WBTJ5AEMNAUWXHEC2B5/events.json","paper":"https://pith.science/paper/WQIOKM5W"},"agent_actions":{"view_html":"https://pith.science/pith/WQIOKM5WBTJ5AEMNAUWXHEC2B5","download_json":"https://pith.science/pith/WQIOKM5WBTJ5AEMNAUWXHEC2B5.json","view_paper":"https://pith.science/paper/WQIOKM5W","resolve_alias":"https://pith.science/api/pith-number/resolve?arxiv=2210.15448&json=true","fetch_graph":"https://pith.science/api/pith-number/WQIOKM5WBTJ5AEMNAUWXHEC2B5/graph.json","fetch_events":"https://pith.science/api/pith-number/WQIOKM5WBTJ5AEMNAUWXHEC2B5/events.json","actions":{"anchor_timestamp":"https://pith.science/pith/WQIOKM5WBTJ5AEMNAUWXHEC2B5/action/timestamp_anchor","attest_storage":"https://pith.science/pith/WQIOKM5WBTJ5AEMNAUWXHEC2B5/action/storage_attestation","attest_author":"https://pith.science/pith/WQIOKM5WBTJ5AEMNAUWXHEC2B5/action/author_attestation","sign_citation":"https://pith.science/pith/WQIOKM5WBTJ5AEMNAUWXHEC2B5/action/citation_signature","submit_replication":"https://pith.science/pith/WQIOKM5WBTJ5AEMNAUWXHEC2B5/action/replication_record"}},"created_at":"2026-07-05T06:46:44.472110+00:00","updated_at":"2026-07-05T06:46:44.472110+00:00"}