{"record_type":"pith_number_record","schema_url":"https://pith.science/schemas/pith-number/v1.json","pith_number":"pith:2013:VSINXWBKZP3CJ3G7FD7WPA55WW","short_pith_number":"pith:VSINXWBK","schema_version":"1.0","canonical_sha256":"ac90dbd82acbf624ecdf28ff6783bdb5a6ce150a39263d1978fe461a2e27aa60","source":{"kind":"arxiv","id":"1302.1405","version":2},"attestation_state":"computed","paper":{"title":"Critical reflexivity in financial markets: a Hawkes process analysis","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["cond-mat.stat-mech"],"primary_cat":"q-fin.ST","authors_text":"Jean-Philippe Bouchaud, Nicolas Bercot, Stephen J. Hardiman","submitted_at":"2013-02-06T15:24:17Z","abstract_excerpt":"We model the arrival of mid-price changes in the E-Mini S&P futures contract as a self-exciting Hawkes process. Using several estimation methods, we find that the Hawkes kernel is power-law with a decay exponent close to -1.15 at short times, less than approximately 10^3 seconds, and crosses over to a second power-law regime with a larger decay exponent of approximately -1.45 for longer times scales in the range [10^3, 10^6] seconds. More importantly, we find that the Hawkes kernel integrates to unity independently of the analysed period, from 1998 to 2011. This suggests that markets are and h"},"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":"1302.1405","kind":"arxiv","version":2},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.ST","submitted_at":"2013-02-06T15:24:17Z","cross_cats_sorted":["cond-mat.stat-mech"],"title_canon_sha256":"54ffb7e70cd9a3f840faa3bff4a158c2b028ba7e29c1af8b761843b9c908dbdd","abstract_canon_sha256":"7e01d8835d6f3d62d52c68c83707f268f10989f14fbde099216bb75e110aaa22"},"schema_version":"1.0"},"receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T01:51:49.782691Z","signature_b64":"Y85/BfwcQp3YPrBJ1n3qEel4p3ftmcbCX0MwXwxka6vAehAZXxbq69kSZIbFtWjj6fpPhv/XXiXpXPJzgVHKAQ==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"ac90dbd82acbf624ecdf28ff6783bdb5a6ce150a39263d1978fe461a2e27aa60","last_reissued_at":"2026-05-18T01:51:49.781609Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T01:51:49.781609Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"graph_snapshot":{"paper":{"title":"Critical reflexivity in financial markets: a Hawkes process analysis","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["cond-mat.stat-mech"],"primary_cat":"q-fin.ST","authors_text":"Jean-Philippe Bouchaud, Nicolas Bercot, Stephen J. Hardiman","submitted_at":"2013-02-06T15:24:17Z","abstract_excerpt":"We model the arrival of mid-price changes in the E-Mini S&P futures contract as a self-exciting Hawkes process. Using several estimation methods, we find that the Hawkes kernel is power-law with a decay exponent close to -1.15 at short times, less than approximately 10^3 seconds, and crosses over to a second power-law regime with a larger decay exponent of approximately -1.45 for longer times scales in the range [10^3, 10^6] seconds. More importantly, we find that the Hawkes kernel integrates to unity independently of the analysed period, from 1998 to 2011. This suggests that markets are and h"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1302.1405","kind":"arxiv","version":2},"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"},"aliases":[{"alias_kind":"arxiv","alias_value":"1302.1405","created_at":"2026-05-18T01:51:49.781678+00:00"},{"alias_kind":"arxiv_version","alias_value":"1302.1405v2","created_at":"2026-05-18T01:51:49.781678+00:00"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1302.1405","created_at":"2026-05-18T01:51:49.781678+00:00"},{"alias_kind":"pith_short_12","alias_value":"VSINXWBKZP3C","created_at":"2026-05-18T12:28:04.890932+00:00"},{"alias_kind":"pith_short_16","alias_value":"VSINXWBKZP3CJ3G7","created_at":"2026-05-18T12:28:04.890932+00:00"},{"alias_kind":"pith_short_8","alias_value":"VSINXWBK","created_at":"2026-05-18T12:28:04.890932+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/VSINXWBKZP3CJ3G7FD7WPA55WW","json":"https://pith.science/pith/VSINXWBKZP3CJ3G7FD7WPA55WW.json","graph_json":"https://pith.science/api/pith-number/VSINXWBKZP3CJ3G7FD7WPA55WW/graph.json","events_json":"https://pith.science/api/pith-number/VSINXWBKZP3CJ3G7FD7WPA55WW/events.json","paper":"https://pith.science/paper/VSINXWBK"},"agent_actions":{"view_html":"https://pith.science/pith/VSINXWBKZP3CJ3G7FD7WPA55WW","download_json":"https://pith.science/pith/VSINXWBKZP3CJ3G7FD7WPA55WW.json","view_paper":"https://pith.science/paper/VSINXWBK","resolve_alias":"https://pith.science/api/pith-number/resolve?arxiv=1302.1405&json=true","fetch_graph":"https://pith.science/api/pith-number/VSINXWBKZP3CJ3G7FD7WPA55WW/graph.json","fetch_events":"https://pith.science/api/pith-number/VSINXWBKZP3CJ3G7FD7WPA55WW/events.json","actions":{"anchor_timestamp":"https://pith.science/pith/VSINXWBKZP3CJ3G7FD7WPA55WW/action/timestamp_anchor","attest_storage":"https://pith.science/pith/VSINXWBKZP3CJ3G7FD7WPA55WW/action/storage_attestation","attest_author":"https://pith.science/pith/VSINXWBKZP3CJ3G7FD7WPA55WW/action/author_attestation","sign_citation":"https://pith.science/pith/VSINXWBKZP3CJ3G7FD7WPA55WW/action/citation_signature","submit_replication":"https://pith.science/pith/VSINXWBKZP3CJ3G7FD7WPA55WW/action/replication_record"}},"created_at":"2026-05-18T01:51:49.781678+00:00","updated_at":"2026-05-18T01:51:49.781678+00:00"}