{"bundle_type":"pith_open_graph_bundle","bundle_version":"1.0","pith_number":"pith:2014:ATDB4YPQMMPKWXY3JXG42A3JBP","short_pith_number":"pith:ATDB4YPQ","canonical_record":{"source":{"id":"1403.6093","kind":"arxiv","version":4},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PM","submitted_at":"2014-03-24T19:25:06Z","cross_cats_sorted":["q-fin.RM"],"title_canon_sha256":"4fff5c838793ed2f73fc235f580639fe6b9f0cf239375c9fd9b957191dc8809c","abstract_canon_sha256":"d5ccd0b8c0b3048a06c8fc246c0e6e5e91d28ccf059c5b502e28ff4c99190fdb"},"schema_version":"1.0"},"canonical_sha256":"04c61e61f0631eab5f1b4dcdcd03690beaf6244af2532366097fb4b70b3e93c7","source":{"kind":"arxiv","id":"1403.6093","version":4},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1403.6093","created_at":"2026-05-18T01:55:53Z"},{"alias_kind":"arxiv_version","alias_value":"1403.6093v4","created_at":"2026-05-18T01:55:53Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1403.6093","created_at":"2026-05-18T01:55:53Z"},{"alias_kind":"pith_short_12","alias_value":"ATDB4YPQMMPK","created_at":"2026-05-18T12:28:19Z"},{"alias_kind":"pith_short_16","alias_value":"ATDB4YPQMMPKWXY3","created_at":"2026-05-18T12:28:19Z"},{"alias_kind":"pith_short_8","alias_value":"ATDB4YPQ","created_at":"2026-05-18T12:28:19Z"}],"events":[{"event_type":"record_created","subject_pith_number":"pith:2014:ATDB4YPQMMPKWXY3JXG42A3JBP","target":"record","payload":{"canonical_record":{"source":{"id":"1403.6093","kind":"arxiv","version":4},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PM","submitted_at":"2014-03-24T19:25:06Z","cross_cats_sorted":["q-fin.RM"],"title_canon_sha256":"4fff5c838793ed2f73fc235f580639fe6b9f0cf239375c9fd9b957191dc8809c","abstract_canon_sha256":"d5ccd0b8c0b3048a06c8fc246c0e6e5e91d28ccf059c5b502e28ff4c99190fdb"},"schema_version":"1.0"},"canonical_sha256":"04c61e61f0631eab5f1b4dcdcd03690beaf6244af2532366097fb4b70b3e93c7","receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T01:55:53.489285Z","signature_b64":"v8MiwEk2UxJfuxvLU3Wgcf51BmjCLrYPeNzrPEeV4LwVOnMxTrxdEhDHHCcfeCRJTUQgGg7jgM3qrb/IEuteCg==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"04c61e61f0631eab5f1b4dcdcd03690beaf6244af2532366097fb4b70b3e93c7","last_reissued_at":"2026-05-18T01:55:53.488597Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T01:55:53.488597Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"source_kind":"arxiv","source_id":"1403.6093","source_version":4,"attestation_state":"computed"},"signer":{"signer_id":"pith.science","signer_type":"pith_registry","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"created_at":"2026-05-18T01:55:53Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"VEpcPiyFAs1ArT2HiDwQoUuVM+orokcBkrhWVOcXKAyyZVm9rIDvm0FpR3mD3As1cUPMBZ1A+nVW9qmTFV7bCw==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-07-02T09:23:05.235461Z"},"content_sha256":"410645be542cdae4b30d8d2be8582e9324c3973ecf21253715a11ad124e4cc7b","schema_version":"1.0","event_id":"sha256:410645be542cdae4b30d8d2be8582e9324c3973ecf21253715a11ad124e4cc7b"},{"event_type":"graph_snapshot","subject_pith_number":"pith:2014:ATDB4YPQMMPKWXY3JXG42A3JBP","target":"graph","payload":{"graph_snapshot":{"paper":{"title":"Reward-risk momentum strategies using classical tempered stable distribution","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.RM"],"primary_cat":"q-fin.PM","authors_text":"Ivan Mitov, Jaehyung Choi, Young Shin Kim","submitted_at":"2014-03-24T19:25:06Z","abstract_excerpt":"We implement momentum strategies using reward-risk measures as ranking criteria based on classical tempered stable distribution. Performances and risk characteristics for the alternative portfolios are obtained in various asset classes and markets. The reward-risk momentum strategies with lower volatility levels outperform the traditional momentum strategy regardless of asset class and market. Additionally, the alternative portfolios are not only less riskier in risk measures such as VaR, CVaR and maximum drawdown but also characterized by thinner downside tails. Similar patterns in performanc"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1403.6093","kind":"arxiv","version":4},"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":"2026-05-18T01:55:53Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"JUY2EKS6dWY/1rJ9p43/uYgHdqM4vkCFQbD5lPzQFRWf9fDSELBD2pTZVmEsOuuuw9Mw1cxUvmeN9DV3/o5HBw==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-07-02T09:23:05.235802Z"},"content_sha256":"7cff063678249e5981d9854c6aee39ac885fd57b99d99a79d185ac3a16258bd8","schema_version":"1.0","event_id":"sha256:7cff063678249e5981d9854c6aee39ac885fd57b99d99a79d185ac3a16258bd8"}],"timestamp_proofs":[],"mirror_hints":[{"mirror_type":"https","name":"Pith Resolver","base_url":"https://pith.science","bundle_url":"https://pith.science/pith/ATDB4YPQMMPKWXY3JXG42A3JBP/bundle.json","state_url":"https://pith.science/pith/ATDB4YPQMMPKWXY3JXG42A3JBP/state.json","well_known_bundle_url":"https://pith.science/.well-known/pith/ATDB4YPQMMPKWXY3JXG42A3JBP/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":"2026-07-02T09:23:05Z","links":{"resolver":"https://pith.science/pith/ATDB4YPQMMPKWXY3JXG42A3JBP","bundle":"https://pith.science/pith/ATDB4YPQMMPKWXY3JXG42A3JBP/bundle.json","state":"https://pith.science/pith/ATDB4YPQMMPKWXY3JXG42A3JBP/state.json","well_known_bundle":"https://pith.science/.well-known/pith/ATDB4YPQMMPKWXY3JXG42A3JBP/bundle.json"},"state":{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2014:ATDB4YPQMMPKWXY3JXG42A3JBP","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":"d5ccd0b8c0b3048a06c8fc246c0e6e5e91d28ccf059c5b502e28ff4c99190fdb","cross_cats_sorted":["q-fin.RM"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PM","submitted_at":"2014-03-24T19:25:06Z","title_canon_sha256":"4fff5c838793ed2f73fc235f580639fe6b9f0cf239375c9fd9b957191dc8809c"},"schema_version":"1.0","source":{"id":"1403.6093","kind":"arxiv","version":4}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1403.6093","created_at":"2026-05-18T01:55:53Z"},{"alias_kind":"arxiv_version","alias_value":"1403.6093v4","created_at":"2026-05-18T01:55:53Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1403.6093","created_at":"2026-05-18T01:55:53Z"},{"alias_kind":"pith_short_12","alias_value":"ATDB4YPQMMPK","created_at":"2026-05-18T12:28:19Z"},{"alias_kind":"pith_short_16","alias_value":"ATDB4YPQMMPKWXY3","created_at":"2026-05-18T12:28:19Z"},{"alias_kind":"pith_short_8","alias_value":"ATDB4YPQ","created_at":"2026-05-18T12:28:19Z"}],"graph_snapshots":[{"event_id":"sha256:7cff063678249e5981d9854c6aee39ac885fd57b99d99a79d185ac3a16258bd8","target":"graph","created_at":"2026-05-18T01:55:53Z","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":"We implement momentum strategies using reward-risk measures as ranking criteria based on classical tempered stable distribution. Performances and risk characteristics for the alternative portfolios are obtained in various asset classes and markets. The reward-risk momentum strategies with lower volatility levels outperform the traditional momentum strategy regardless of asset class and market. Additionally, the alternative portfolios are not only less riskier in risk measures such as VaR, CVaR and maximum drawdown but also characterized by thinner downside tails. Similar patterns in performanc","authors_text":"Ivan Mitov, Jaehyung Choi, Young Shin Kim","cross_cats":["q-fin.RM"],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PM","submitted_at":"2014-03-24T19:25:06Z","title":"Reward-risk momentum strategies using classical tempered stable distribution"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1403.6093","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":"sha256:410645be542cdae4b30d8d2be8582e9324c3973ecf21253715a11ad124e4cc7b","target":"record","created_at":"2026-05-18T01:55:53Z","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":"d5ccd0b8c0b3048a06c8fc246c0e6e5e91d28ccf059c5b502e28ff4c99190fdb","cross_cats_sorted":["q-fin.RM"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PM","submitted_at":"2014-03-24T19:25:06Z","title_canon_sha256":"4fff5c838793ed2f73fc235f580639fe6b9f0cf239375c9fd9b957191dc8809c"},"schema_version":"1.0","source":{"id":"1403.6093","kind":"arxiv","version":4}},"canonical_sha256":"04c61e61f0631eab5f1b4dcdcd03690beaf6244af2532366097fb4b70b3e93c7","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"04c61e61f0631eab5f1b4dcdcd03690beaf6244af2532366097fb4b70b3e93c7","first_computed_at":"2026-05-18T01:55:53.488597Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-18T01:55:53.488597Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"v8MiwEk2UxJfuxvLU3Wgcf51BmjCLrYPeNzrPEeV4LwVOnMxTrxdEhDHHCcfeCRJTUQgGg7jgM3qrb/IEuteCg==","signature_status":"signed_v1","signed_at":"2026-05-18T01:55:53.489285Z","signed_message":"canonical_sha256_bytes"},"source_id":"1403.6093","source_kind":"arxiv","source_version":4}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:410645be542cdae4b30d8d2be8582e9324c3973ecf21253715a11ad124e4cc7b","sha256:7cff063678249e5981d9854c6aee39ac885fd57b99d99a79d185ac3a16258bd8"],"state_sha256":"9788ebce06cd98d32625903312baf275af8d876e2334b4cf325e60fa4acf42c4"},"bundle_signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"H2Tvrl4BqCYZNd/15DKvgQI6+AWzXng0yM6zivRTtLzUee9IKnI/2hizbOBqgXT69+eyFUkL/YK9Ff3MUAuvDw==","signed_message":"bundle_sha256_bytes","signed_at":"2026-07-02T09:23:05.237778Z","bundle_sha256":"d3b8c91633ae630950b0fb70e53d144403ad66ce07d672f95b8ca1170e6339f9"}}