{"record_type":"pith_number_record","schema_url":"https://pith.science/schemas/pith-number/v1.json","pith_number":"pith:2026:XQJVOJWN46MDHGUURASFAG5YLF","short_pith_number":"pith:XQJVOJWN","schema_version":"1.0","canonical_sha256":"bc135726cde798339a948824501bb8596a02cd0dbf1b055015f3f485bf96a5d9","source":{"kind":"arxiv","id":"2606.29018","version":1},"attestation_state":"computed","paper":{"title":"Liquidity-Based Audit of Algorithmic Trading Strategies","license":"http://creativecommons.org/licenses/by/4.0/","headline":"","cross_cats":["cs.LG","q-fin.CP","q-fin.RM","stat.ML"],"primary_cat":"econ.EM","authors_text":"Irene Aldridge","submitted_at":"2026-06-27T17:35:21Z","abstract_excerpt":"We show that net demand for liquidity by algo strategies is identifiable from its trade and price history alone, with no knowledge of its signal or optimization problem. An exact multi-period regret decomposition implies that the sign of this statistic classifies a linear strategy as a net liquidity consumer or provider, recovering the Kyle (1985) informed-trader/market-maker dichotomy from observables alone. Under an AR(1) cost process, the same statistic equals the product of strategy size and the squared Roll (1984) implied spread, making the correction a direct proxy for prevailing illiqui"},"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":"2606.29018","kind":"arxiv","version":1},"metadata":{"license":"http://creativecommons.org/licenses/by/4.0/","primary_cat":"econ.EM","submitted_at":"2026-06-27T17:35:21Z","cross_cats_sorted":["cs.LG","q-fin.CP","q-fin.RM","stat.ML"],"title_canon_sha256":"d0041184b846fd348a17811b5588842b0806430b6a32db9b224720e529d29f6e","abstract_canon_sha256":"8e28ac58e704ac55fcd5612952c6c1e66ed0557731a9245699e120210c6c97ca"},"schema_version":"1.0"},"receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-06-30T01:17:49.589589Z","signature_b64":"dvMuNFLnKDyxTPKZsKDlBx4CKl4yDokH81npLumkSrZ8DHRIxzMbzFus0lq1HpCIb2fFilOlatmeXfvAoREVCg==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"bc135726cde798339a948824501bb8596a02cd0dbf1b055015f3f485bf96a5d9","last_reissued_at":"2026-06-30T01:17:49.589022Z","signature_status":"signed_v1","first_computed_at":"2026-06-30T01:17:49.589022Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"graph_snapshot":{"paper":{"title":"Liquidity-Based Audit of Algorithmic Trading Strategies","license":"http://creativecommons.org/licenses/by/4.0/","headline":"","cross_cats":["cs.LG","q-fin.CP","q-fin.RM","stat.ML"],"primary_cat":"econ.EM","authors_text":"Irene Aldridge","submitted_at":"2026-06-27T17:35:21Z","abstract_excerpt":"We show that net demand for liquidity by algo strategies is identifiable from its trade and price history alone, with no knowledge of its signal or optimization problem. An exact multi-period regret decomposition implies that the sign of this statistic classifies a linear strategy as a net liquidity consumer or provider, recovering the Kyle (1985) informed-trader/market-maker dichotomy from observables alone. Under an AR(1) cost process, the same statistic equals the product of strategy size and the squared Roll (1984) implied spread, making the correction a direct proxy for prevailing illiqui"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2606.29018","kind":"arxiv","version":1},"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/2606.29018/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":"2606.29018","created_at":"2026-06-30T01:17:49.589117+00:00"},{"alias_kind":"arxiv_version","alias_value":"2606.29018v1","created_at":"2026-06-30T01:17:49.589117+00:00"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.2606.29018","created_at":"2026-06-30T01:17:49.589117+00:00"},{"alias_kind":"pith_short_12","alias_value":"XQJVOJWN46MD","created_at":"2026-06-30T01:17:49.589117+00:00"},{"alias_kind":"pith_short_16","alias_value":"XQJVOJWN46MDHGUU","created_at":"2026-06-30T01:17:49.589117+00:00"},{"alias_kind":"pith_short_8","alias_value":"XQJVOJWN","created_at":"2026-06-30T01:17:49.589117+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/XQJVOJWN46MDHGUURASFAG5YLF","json":"https://pith.science/pith/XQJVOJWN46MDHGUURASFAG5YLF.json","graph_json":"https://pith.science/api/pith-number/XQJVOJWN46MDHGUURASFAG5YLF/graph.json","events_json":"https://pith.science/api/pith-number/XQJVOJWN46MDHGUURASFAG5YLF/events.json","paper":"https://pith.science/paper/XQJVOJWN"},"agent_actions":{"view_html":"https://pith.science/pith/XQJVOJWN46MDHGUURASFAG5YLF","download_json":"https://pith.science/pith/XQJVOJWN46MDHGUURASFAG5YLF.json","view_paper":"https://pith.science/paper/XQJVOJWN","resolve_alias":"https://pith.science/api/pith-number/resolve?arxiv=2606.29018&json=true","fetch_graph":"https://pith.science/api/pith-number/XQJVOJWN46MDHGUURASFAG5YLF/graph.json","fetch_events":"https://pith.science/api/pith-number/XQJVOJWN46MDHGUURASFAG5YLF/events.json","actions":{"anchor_timestamp":"https://pith.science/pith/XQJVOJWN46MDHGUURASFAG5YLF/action/timestamp_anchor","attest_storage":"https://pith.science/pith/XQJVOJWN46MDHGUURASFAG5YLF/action/storage_attestation","attest_author":"https://pith.science/pith/XQJVOJWN46MDHGUURASFAG5YLF/action/author_attestation","sign_citation":"https://pith.science/pith/XQJVOJWN46MDHGUURASFAG5YLF/action/citation_signature","submit_replication":"https://pith.science/pith/XQJVOJWN46MDHGUURASFAG5YLF/action/replication_record"}},"created_at":"2026-06-30T01:17:49.589117+00:00","updated_at":"2026-06-30T01:17:49.589117+00:00"}