{"bundle_type":"pith_open_graph_bundle","bundle_version":"1.0","pith_number":"pith:2010:SNVS7U2B2E3UCNBQBN7YZYLESR","short_pith_number":"pith:SNVS7U2B","canonical_record":{"source":{"id":"1008.0149","kind":"arxiv","version":1},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.ST","submitted_at":"2010-08-01T06:29:32Z","cross_cats_sorted":["q-fin.CP","stat.AP","stat.CO","stat.ME"],"title_canon_sha256":"ef5c711af07b04b0f1e4d1768852db255c04095a1f67f4cd9bcbc6c782402bcb","abstract_canon_sha256":"a44a9290da585dcf44e5f97acdfce04629db6de9783dd8b273c940166c635aa0"},"schema_version":"1.0"},"canonical_sha256":"936b2fd341d1374134300b7f8ce164945a5acebd296ea9095092567a1be875cd","source":{"kind":"arxiv","id":"1008.0149","version":1},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1008.0149","created_at":"2026-05-18T04:42:43Z"},{"alias_kind":"arxiv_version","alias_value":"1008.0149v1","created_at":"2026-05-18T04:42:43Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1008.0149","created_at":"2026-05-18T04:42:43Z"},{"alias_kind":"pith_short_12","alias_value":"SNVS7U2B2E3U","created_at":"2026-05-18T12:26:13Z"},{"alias_kind":"pith_short_16","alias_value":"SNVS7U2B2E3UCNBQ","created_at":"2026-05-18T12:26:13Z"},{"alias_kind":"pith_short_8","alias_value":"SNVS7U2B","created_at":"2026-05-18T12:26:13Z"}],"events":[{"event_type":"record_created","subject_pith_number":"pith:2010:SNVS7U2B2E3UCNBQBN7YZYLESR","target":"record","payload":{"canonical_record":{"source":{"id":"1008.0149","kind":"arxiv","version":1},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.ST","submitted_at":"2010-08-01T06:29:32Z","cross_cats_sorted":["q-fin.CP","stat.AP","stat.CO","stat.ME"],"title_canon_sha256":"ef5c711af07b04b0f1e4d1768852db255c04095a1f67f4cd9bcbc6c782402bcb","abstract_canon_sha256":"a44a9290da585dcf44e5f97acdfce04629db6de9783dd8b273c940166c635aa0"},"schema_version":"1.0"},"canonical_sha256":"936b2fd341d1374134300b7f8ce164945a5acebd296ea9095092567a1be875cd","receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T04:42:43.953577Z","signature_b64":"duhMqngB3U9ijreIFGyqlKuXRmjTd0Nz3Wd8Lpi1z/7AlDODqrVRP0pF11o37uAfnLqvUqNkj4XTat/4QECUCg==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"936b2fd341d1374134300b7f8ce164945a5acebd296ea9095092567a1be875cd","last_reissued_at":"2026-05-18T04:42:43.952923Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T04:42:43.952923Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"source_kind":"arxiv","source_id":"1008.0149","source_version":1,"attestation_state":"computed"},"signer":{"signer_id":"pith.science","signer_type":"pith_registry","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"created_at":"2026-05-18T04:42:43Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"SIQ12mBbj7Ww3Qoey34XrRuTY76jXr8ERIiY0xZgjSWrPZLKJf6kCf0nOiC/Ur94zt/3d668OG8cFp3IvkfYAw==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-06-29T14:44:19.825655Z"},"content_sha256":"28d47149ec7db2321bffec1f66063d40cf8a6b9a969f38579485ef69eb2338bc","schema_version":"1.0","event_id":"sha256:28d47149ec7db2321bffec1f66063d40cf8a6b9a969f38579485ef69eb2338bc"},{"event_type":"graph_snapshot","subject_pith_number":"pith:2010:SNVS7U2B2E3UCNBQBN7YZYLESR","target":"graph","payload":{"graph_snapshot":{"paper":{"title":"Bayesian Cointegrated Vector Autoregression models incorporating Alpha-stable noise for inter-day price movements via Approximate Bayesian Computation","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.CP","stat.AP","stat.CO","stat.ME"],"primary_cat":"q-fin.ST","authors_text":"Balakrishnan B. Kannan, Ben Lasscock, Chris Mellen, Gareth W. Peters, Simon Godsill","submitted_at":"2010-08-01T06:29:32Z","abstract_excerpt":"We consider a statistical model for pairs of traded assets, based on a Cointegrated Vector Auto Regression (CVAR) Model. We extend standard CVAR models to incorporate estimation of model parameters in the presence of price series level shifts which are not accurately modeled in the standard Gaussian error correction model (ECM) framework. This involves developing a novel matrix variate Bayesian CVAR mixture model comprised of Gaussian errors intra-day and Alpha-stable errors inter-day in the ECM framework. To achieve this we derive a novel conjugate posterior model for the Scaled Mixtures of N"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1008.0149","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":""},"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":"2026-05-18T04:42:43Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"jOkhNMj2VO5eYVsu/3qhk65ZKhcSo10NxXfl1BzYWqXUZK02iADgh4rfa4YXumTxy330kUpgjkNBdQ2HSLkaCg==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-06-29T14:44:19.826019Z"},"content_sha256":"9dac24e1767943cd37754b486dff5fb1969856daece7969141db426d9a5d80e9","schema_version":"1.0","event_id":"sha256:9dac24e1767943cd37754b486dff5fb1969856daece7969141db426d9a5d80e9"}],"timestamp_proofs":[],"mirror_hints":[{"mirror_type":"https","name":"Pith Resolver","base_url":"https://pith.science","bundle_url":"https://pith.science/pith/SNVS7U2B2E3UCNBQBN7YZYLESR/bundle.json","state_url":"https://pith.science/pith/SNVS7U2B2E3UCNBQBN7YZYLESR/state.json","well_known_bundle_url":"https://pith.science/.well-known/pith/SNVS7U2B2E3UCNBQBN7YZYLESR/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":"2026-06-29T14:44:19Z","links":{"resolver":"https://pith.science/pith/SNVS7U2B2E3UCNBQBN7YZYLESR","bundle":"https://pith.science/pith/SNVS7U2B2E3UCNBQBN7YZYLESR/bundle.json","state":"https://pith.science/pith/SNVS7U2B2E3UCNBQBN7YZYLESR/state.json","well_known_bundle":"https://pith.science/.well-known/pith/SNVS7U2B2E3UCNBQBN7YZYLESR/bundle.json"},"state":{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2010:SNVS7U2B2E3UCNBQBN7YZYLESR","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":"a44a9290da585dcf44e5f97acdfce04629db6de9783dd8b273c940166c635aa0","cross_cats_sorted":["q-fin.CP","stat.AP","stat.CO","stat.ME"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.ST","submitted_at":"2010-08-01T06:29:32Z","title_canon_sha256":"ef5c711af07b04b0f1e4d1768852db255c04095a1f67f4cd9bcbc6c782402bcb"},"schema_version":"1.0","source":{"id":"1008.0149","kind":"arxiv","version":1}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1008.0149","created_at":"2026-05-18T04:42:43Z"},{"alias_kind":"arxiv_version","alias_value":"1008.0149v1","created_at":"2026-05-18T04:42:43Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1008.0149","created_at":"2026-05-18T04:42:43Z"},{"alias_kind":"pith_short_12","alias_value":"SNVS7U2B2E3U","created_at":"2026-05-18T12:26:13Z"},{"alias_kind":"pith_short_16","alias_value":"SNVS7U2B2E3UCNBQ","created_at":"2026-05-18T12:26:13Z"},{"alias_kind":"pith_short_8","alias_value":"SNVS7U2B","created_at":"2026-05-18T12:26:13Z"}],"graph_snapshots":[{"event_id":"sha256:9dac24e1767943cd37754b486dff5fb1969856daece7969141db426d9a5d80e9","target":"graph","created_at":"2026-05-18T04:42:43Z","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 consider a statistical model for pairs of traded assets, based on a Cointegrated Vector Auto Regression (CVAR) Model. We extend standard CVAR models to incorporate estimation of model parameters in the presence of price series level shifts which are not accurately modeled in the standard Gaussian error correction model (ECM) framework. This involves developing a novel matrix variate Bayesian CVAR mixture model comprised of Gaussian errors intra-day and Alpha-stable errors inter-day in the ECM framework. To achieve this we derive a novel conjugate posterior model for the Scaled Mixtures of N","authors_text":"Balakrishnan B. Kannan, Ben Lasscock, Chris Mellen, Gareth W. Peters, Simon Godsill","cross_cats":["q-fin.CP","stat.AP","stat.CO","stat.ME"],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.ST","submitted_at":"2010-08-01T06:29:32Z","title":"Bayesian Cointegrated Vector Autoregression models incorporating Alpha-stable noise for inter-day price movements via Approximate Bayesian Computation"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1008.0149","kind":"arxiv","version":1},"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":"sha256:28d47149ec7db2321bffec1f66063d40cf8a6b9a969f38579485ef69eb2338bc","target":"record","created_at":"2026-05-18T04:42:43Z","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":"a44a9290da585dcf44e5f97acdfce04629db6de9783dd8b273c940166c635aa0","cross_cats_sorted":["q-fin.CP","stat.AP","stat.CO","stat.ME"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.ST","submitted_at":"2010-08-01T06:29:32Z","title_canon_sha256":"ef5c711af07b04b0f1e4d1768852db255c04095a1f67f4cd9bcbc6c782402bcb"},"schema_version":"1.0","source":{"id":"1008.0149","kind":"arxiv","version":1}},"canonical_sha256":"936b2fd341d1374134300b7f8ce164945a5acebd296ea9095092567a1be875cd","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"936b2fd341d1374134300b7f8ce164945a5acebd296ea9095092567a1be875cd","first_computed_at":"2026-05-18T04:42:43.952923Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-18T04:42:43.952923Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"duhMqngB3U9ijreIFGyqlKuXRmjTd0Nz3Wd8Lpi1z/7AlDODqrVRP0pF11o37uAfnLqvUqNkj4XTat/4QECUCg==","signature_status":"signed_v1","signed_at":"2026-05-18T04:42:43.953577Z","signed_message":"canonical_sha256_bytes"},"source_id":"1008.0149","source_kind":"arxiv","source_version":1}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:28d47149ec7db2321bffec1f66063d40cf8a6b9a969f38579485ef69eb2338bc","sha256:9dac24e1767943cd37754b486dff5fb1969856daece7969141db426d9a5d80e9"],"state_sha256":"ef2599491a3feabad314bd076cc276073a2f708539d966ca96bfdf1994e43f1d"},"bundle_signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"56J45HuaNLMaPOv1wmS5ByzIoomAexyobAlwY0Nmzzaest8wicobMwUooeyaYIrKW6j4psmZ59UzcZeEREVtCQ==","signed_message":"bundle_sha256_bytes","signed_at":"2026-06-29T14:44:19.827898Z","bundle_sha256":"45c55dd52759db5656701f4f51b7f6ac95b142adaa7ed26c8e5f2251e05a9c81"}}