{"record_type":"pith_number_record","schema_url":"https://pith.science/schemas/pith-number/v1.json","pith_number":"pith:2024:ZKALX6LNV4GTVBD75OD5VMN66A","short_pith_number":"pith:ZKALX6LN","schema_version":"1.0","canonical_sha256":"ca80bbf96daf0d3a847feb87dab1bef032a38978fbb9f9e8b57d86aa9eb036d0","source":{"kind":"arxiv","id":"2408.03594","version":1},"attestation_state":"computed","paper":{"title":"Forecasting High Frequency Order Flow Imbalance","license":"http://creativecommons.org/licenses/by-nc-nd/4.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.TR","authors_text":"Aditya Nittur Anantha, Shashi Jain","submitted_at":"2024-08-07T07:16:06Z","abstract_excerpt":"Market information events are generated intermittently and disseminated at high speeds in real-time. Market participants consume this high-frequency data to build limit order books, representing the current bids and offers for a given asset. The arrival processes, or the order flow of bid and offer events, are asymmetric and possibly dependent on each other. The quantum and direction of this asymmetry are often associated with the direction of the traded price movement. The Order Flow Imbalance (OFI) is an indicator commonly used to estimate this asymmetry. This paper uses Hawkes processes to "},"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":"2408.03594","kind":"arxiv","version":1},"metadata":{"license":"http://creativecommons.org/licenses/by-nc-nd/4.0/","primary_cat":"q-fin.TR","submitted_at":"2024-08-07T07:16:06Z","cross_cats_sorted":[],"title_canon_sha256":"8189e15ccc0596c7485a276815a0d356e6c7341fb8cbcc8edf331709c19aa44b","abstract_canon_sha256":"a6902e62cf7d1bbed6701546de4082cc92b5992df25f886b81cabdb7e92bc50a"},"schema_version":"1.0"},"receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-07-05T08:53:00.664226Z","signature_b64":"quI0xEUacD4ioraIkFg/H/qpFCKY0So5E3UgJWT5LOKZgwdLg6ABPY1YNOQd4jY1AypV4dLXcxlE7ukLDygPCg==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"ca80bbf96daf0d3a847feb87dab1bef032a38978fbb9f9e8b57d86aa9eb036d0","last_reissued_at":"2026-07-05T08:53:00.663676Z","signature_status":"signed_v1","first_computed_at":"2026-07-05T08:53:00.663676Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"graph_snapshot":{"paper":{"title":"Forecasting High Frequency Order Flow Imbalance","license":"http://creativecommons.org/licenses/by-nc-nd/4.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.TR","authors_text":"Aditya Nittur Anantha, Shashi Jain","submitted_at":"2024-08-07T07:16:06Z","abstract_excerpt":"Market information events are generated intermittently and disseminated at high speeds in real-time. Market participants consume this high-frequency data to build limit order books, representing the current bids and offers for a given asset. The arrival processes, or the order flow of bid and offer events, are asymmetric and possibly dependent on each other. The quantum and direction of this asymmetry are often associated with the direction of the traded price movement. The Order Flow Imbalance (OFI) is an indicator commonly used to estimate this asymmetry. This paper uses Hawkes processes to "},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2408.03594","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/2408.03594/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":"2408.03594","created_at":"2026-07-05T08:53:00.663741+00:00"},{"alias_kind":"arxiv_version","alias_value":"2408.03594v1","created_at":"2026-07-05T08:53:00.663741+00:00"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.2408.03594","created_at":"2026-07-05T08:53:00.663741+00:00"},{"alias_kind":"pith_short_12","alias_value":"ZKALX6LNV4GT","created_at":"2026-07-05T08:53:00.663741+00:00"},{"alias_kind":"pith_short_16","alias_value":"ZKALX6LNV4GTVBD7","created_at":"2026-07-05T08:53:00.663741+00:00"},{"alias_kind":"pith_short_8","alias_value":"ZKALX6LN","created_at":"2026-07-05T08:53:00.663741+00:00"}],"events":[],"event_summary":{},"paper_claims":[],"inbound_citations":{"count":1,"internal_anchor_count":1,"sample":[{"citing_arxiv_id":"2505.17388","citing_title":"Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures","ref_index":9,"is_internal_anchor":true}]},"formal_canon":{"evidence_count":0,"sample":[],"anchors":[]},"links":{"html":"https://pith.science/pith/ZKALX6LNV4GTVBD75OD5VMN66A","json":"https://pith.science/pith/ZKALX6LNV4GTVBD75OD5VMN66A.json","graph_json":"https://pith.science/api/pith-number/ZKALX6LNV4GTVBD75OD5VMN66A/graph.json","events_json":"https://pith.science/api/pith-number/ZKALX6LNV4GTVBD75OD5VMN66A/events.json","paper":"https://pith.science/paper/ZKALX6LN"},"agent_actions":{"view_html":"https://pith.science/pith/ZKALX6LNV4GTVBD75OD5VMN66A","download_json":"https://pith.science/pith/ZKALX6LNV4GTVBD75OD5VMN66A.json","view_paper":"https://pith.science/paper/ZKALX6LN","resolve_alias":"https://pith.science/api/pith-number/resolve?arxiv=2408.03594&json=true","fetch_graph":"https://pith.science/api/pith-number/ZKALX6LNV4GTVBD75OD5VMN66A/graph.json","fetch_events":"https://pith.science/api/pith-number/ZKALX6LNV4GTVBD75OD5VMN66A/events.json","actions":{"anchor_timestamp":"https://pith.science/pith/ZKALX6LNV4GTVBD75OD5VMN66A/action/timestamp_anchor","attest_storage":"https://pith.science/pith/ZKALX6LNV4GTVBD75OD5VMN66A/action/storage_attestation","attest_author":"https://pith.science/pith/ZKALX6LNV4GTVBD75OD5VMN66A/action/author_attestation","sign_citation":"https://pith.science/pith/ZKALX6LNV4GTVBD75OD5VMN66A/action/citation_signature","submit_replication":"https://pith.science/pith/ZKALX6LNV4GTVBD75OD5VMN66A/action/replication_record"}},"created_at":"2026-07-05T08:53:00.663741+00:00","updated_at":"2026-07-05T08:53:00.663741+00:00"}