{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2025:YSBEKLXKQW3E522UGJBK7Y777Y","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":"4e3aa2d432a2322cb5a9315d8f8be02314d89535cf09598f00d59d3986cd792f","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.ST","submitted_at":"2025-05-05T14:24:29Z","title_canon_sha256":"2bb80a4049b8322b9a8c491d08081d396671766f6e3f5e792696e9e1a7405db5"},"schema_version":"1.0","source":{"id":"2505.02678","kind":"arxiv","version":4}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"2505.02678","created_at":"2026-06-26T01:15:44Z"},{"alias_kind":"arxiv_version","alias_value":"2505.02678v4","created_at":"2026-06-26T01:15:44Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.2505.02678","created_at":"2026-06-26T01:15:44Z"},{"alias_kind":"pith_short_12","alias_value":"YSBEKLXKQW3E","created_at":"2026-06-26T01:15:44Z"},{"alias_kind":"pith_short_16","alias_value":"YSBEKLXKQW3E522U","created_at":"2026-06-26T01:15:44Z"},{"alias_kind":"pith_short_8","alias_value":"YSBEKLXK","created_at":"2026-06-26T01:15:44Z"}],"graph_snapshots":[{"event_id":"sha256:70d15bc3b11a0118e2d85d76e1cfc3d65200669826d0a2057cc1748b26c887d1","target":"graph","created_at":"2026-06-26T01:15:44Z","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"},"integrity":{"available":true,"clean":true,"detectors_run":[],"endpoint":"/pith/2505.02678/integrity.json","findings":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938","summary":{"advisory":0,"by_detector":{},"critical":0,"informational":0}},"paper":{"abstract_excerpt":"The Nested factor model was introduced by Chicheportiche et al. to represent non-linear correlations between stocks. Stock returns are explained by a standard factor model, but the (log)-volatilities of factors and residuals are themselves decomposed into factor modes, with a common dominant volatility mode affecting both market and sector factors but also residuals. Here, we consider the case of a single factor where the only dominant log-volatility mode is rough, with a Hurst exponent $H \\simeq 0.11$ and the log-volatility residuals are ''super-rough'' or ''multifractal'', with $H \\simeq 0$.","authors_text":"Cecilia Aubrun, Emmanuel Bacry, Jean-Fran\\c{c}ois Muzy, Jean-Philippe Bouchaud, Othmane Zarhali","cross_cats":[],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.ST","submitted_at":"2025-05-05T14:24:29Z","title":"A Nested Factor Model for Equity Markets: Reconciling Multifractal Stock Returns and Rough Index Volatilities"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2505.02678","kind":"arxiv","version":4},"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:b07f00b0819b2277abe492363e8ff8379298aca537bf25abc7caf11a37760dc9","target":"record","created_at":"2026-06-26T01:15:44Z","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":"4e3aa2d432a2322cb5a9315d8f8be02314d89535cf09598f00d59d3986cd792f","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.ST","submitted_at":"2025-05-05T14:24:29Z","title_canon_sha256":"2bb80a4049b8322b9a8c491d08081d396671766f6e3f5e792696e9e1a7405db5"},"schema_version":"1.0","source":{"id":"2505.02678","kind":"arxiv","version":4}},"canonical_sha256":"c482452eea85b64eeb543242afe3fffe185fec3eccbecb9dbaf7dce78d6409c7","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"c482452eea85b64eeb543242afe3fffe185fec3eccbecb9dbaf7dce78d6409c7","first_computed_at":"2026-06-26T01:15:44.003596Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-06-26T01:15:44.003596Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"p2t5Mkj+sKUI0c3qe6pvKmRX3abfISVxH2KO0JHfIx5S3DX08NhaG1Cwdh6masgMikwCF6pqhSxys+jVPcAjCA==","signature_status":"signed_v1","signed_at":"2026-06-26T01:15:44.004066Z","signed_message":"canonical_sha256_bytes"},"source_id":"2505.02678","source_kind":"arxiv","source_version":4}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:b07f00b0819b2277abe492363e8ff8379298aca537bf25abc7caf11a37760dc9","sha256:70d15bc3b11a0118e2d85d76e1cfc3d65200669826d0a2057cc1748b26c887d1"],"state_sha256":"c0a130e12814eb703afa03233b81a3460c4b6d0c64594201fcc88418c11e04fa"}