{"bundle_type":"pith_open_graph_bundle","bundle_version":"1.0","pith_number":"pith:2011:VXATH43PMOQ2L3RIUH7OKWY2LW","short_pith_number":"pith:VXATH43P","canonical_record":{"source":{"id":"1103.4943","kind":"arxiv","version":1},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.RM","submitted_at":"2011-03-25T10:49:21Z","cross_cats_sorted":["q-fin.GN","q-fin.PM"],"title_canon_sha256":"52c7b1def319638d10b67fae2a24e0272e36d56cb814e3e0e37d07d2b53e9dc9","abstract_canon_sha256":"bbfa7c1519fe63367ed5fb42cfd459bc3fcc31bd21124edd3848a4d20b1ec682"},"schema_version":"1.0"},"canonical_sha256":"adc133f36f63a1a5ee28a1fee55b1a5daf669c2cd6ad935434a50e65ab54c7e1","source":{"kind":"arxiv","id":"1103.4943","version":1},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1103.4943","created_at":"2026-05-18T04:25:48Z"},{"alias_kind":"arxiv_version","alias_value":"1103.4943v1","created_at":"2026-05-18T04:25:48Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1103.4943","created_at":"2026-05-18T04:25:48Z"},{"alias_kind":"pith_short_12","alias_value":"VXATH43PMOQ2","created_at":"2026-05-18T12:26:44Z"},{"alias_kind":"pith_short_16","alias_value":"VXATH43PMOQ2L3RI","created_at":"2026-05-18T12:26:44Z"},{"alias_kind":"pith_short_8","alias_value":"VXATH43P","created_at":"2026-05-18T12:26:44Z"}],"events":[{"event_type":"record_created","subject_pith_number":"pith:2011:VXATH43PMOQ2L3RIUH7OKWY2LW","target":"record","payload":{"canonical_record":{"source":{"id":"1103.4943","kind":"arxiv","version":1},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.RM","submitted_at":"2011-03-25T10:49:21Z","cross_cats_sorted":["q-fin.GN","q-fin.PM"],"title_canon_sha256":"52c7b1def319638d10b67fae2a24e0272e36d56cb814e3e0e37d07d2b53e9dc9","abstract_canon_sha256":"bbfa7c1519fe63367ed5fb42cfd459bc3fcc31bd21124edd3848a4d20b1ec682"},"schema_version":"1.0"},"canonical_sha256":"adc133f36f63a1a5ee28a1fee55b1a5daf669c2cd6ad935434a50e65ab54c7e1","receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T04:25:48.341066Z","signature_b64":"rwZjGKr1dGFsuMWP1iv0ZYw0E8TyFZrDIJEMmuevLXaYN7YNhYm2ATb1Ozz0ndayBGbeXYAFPAAdr1iFhicBDg==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"adc133f36f63a1a5ee28a1fee55b1a5daf669c2cd6ad935434a50e65ab54c7e1","last_reissued_at":"2026-05-18T04:25:48.340505Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T04:25:48.340505Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"source_kind":"arxiv","source_id":"1103.4943","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":"2026-05-18T04:25:48Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"4BBSreAEWFeeZX4iGOqgQa6VvlkUeGqQCzakRxlU1jThzmJodHdh3NUeH234UcWC26H333JCdihDJyY3ZRoNDw==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-06-27T05:18:53.576811Z"},"content_sha256":"d083fa173909388a8157bc8b5339897583af3d75a83ac360609ddab429dcd68b","schema_version":"1.0","event_id":"sha256:d083fa173909388a8157bc8b5339897583af3d75a83ac360609ddab429dcd68b"},{"event_type":"graph_snapshot","subject_pith_number":"pith:2011:VXATH43PMOQ2L3RIUH7OKWY2LW","target":"graph","payload":{"graph_snapshot":{"paper":{"title":"An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.GN","q-fin.PM"],"primary_cat":"q-fin.RM","authors_text":"John Cotter, Thomas Conlon","submitted_at":"2011-03-25T10:49:21Z","abstract_excerpt":"This paper investigates the hedging effectiveness of a dynamic moving window OLS hedging model, formed using wavelet decomposed time-series. The wavelet transform is applied to calculate the appropriate dynamic minimum-variance hedge ratio for various hedging horizons for a number of assets. The effectiveness of the dynamic multiscale hedging strategy is then tested, both in- and out-of-sample, using standard variance reduction and expanded to include a downside risk metric, the time horizon dependent Value-at-Risk. Measured using variance reduction, the effectiveness converges to one at longe"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1103.4943","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":"2026-05-18T04:25:48Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"N0sW7yfidAXiXj7dfn+Xpt0P4yL45F19oXXziKWNjIiX0rM0rRBe6Fl0U580OTd4/dxW390P7naK7TWiztYDAg==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-06-27T05:18:53.577141Z"},"content_sha256":"482be35fe2b35fae1dc85fd1a8eb39271c744be25575998a1537e89c4e1059be","schema_version":"1.0","event_id":"sha256:482be35fe2b35fae1dc85fd1a8eb39271c744be25575998a1537e89c4e1059be"}],"timestamp_proofs":[],"mirror_hints":[{"mirror_type":"https","name":"Pith Resolver","base_url":"https://pith.science","bundle_url":"https://pith.science/pith/VXATH43PMOQ2L3RIUH7OKWY2LW/bundle.json","state_url":"https://pith.science/pith/VXATH43PMOQ2L3RIUH7OKWY2LW/state.json","well_known_bundle_url":"https://pith.science/.well-known/pith/VXATH43PMOQ2L3RIUH7OKWY2LW/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":"2026-06-27T05:18:53Z","links":{"resolver":"https://pith.science/pith/VXATH43PMOQ2L3RIUH7OKWY2LW","bundle":"https://pith.science/pith/VXATH43PMOQ2L3RIUH7OKWY2LW/bundle.json","state":"https://pith.science/pith/VXATH43PMOQ2L3RIUH7OKWY2LW/state.json","well_known_bundle":"https://pith.science/.well-known/pith/VXATH43PMOQ2L3RIUH7OKWY2LW/bundle.json"},"state":{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2011:VXATH43PMOQ2L3RIUH7OKWY2LW","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":"bbfa7c1519fe63367ed5fb42cfd459bc3fcc31bd21124edd3848a4d20b1ec682","cross_cats_sorted":["q-fin.GN","q-fin.PM"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.RM","submitted_at":"2011-03-25T10:49:21Z","title_canon_sha256":"52c7b1def319638d10b67fae2a24e0272e36d56cb814e3e0e37d07d2b53e9dc9"},"schema_version":"1.0","source":{"id":"1103.4943","kind":"arxiv","version":1}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1103.4943","created_at":"2026-05-18T04:25:48Z"},{"alias_kind":"arxiv_version","alias_value":"1103.4943v1","created_at":"2026-05-18T04:25:48Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1103.4943","created_at":"2026-05-18T04:25:48Z"},{"alias_kind":"pith_short_12","alias_value":"VXATH43PMOQ2","created_at":"2026-05-18T12:26:44Z"},{"alias_kind":"pith_short_16","alias_value":"VXATH43PMOQ2L3RI","created_at":"2026-05-18T12:26:44Z"},{"alias_kind":"pith_short_8","alias_value":"VXATH43P","created_at":"2026-05-18T12:26:44Z"}],"graph_snapshots":[{"event_id":"sha256:482be35fe2b35fae1dc85fd1a8eb39271c744be25575998a1537e89c4e1059be","target":"graph","created_at":"2026-05-18T04:25:48Z","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":"This paper investigates the hedging effectiveness of a dynamic moving window OLS hedging model, formed using wavelet decomposed time-series. The wavelet transform is applied to calculate the appropriate dynamic minimum-variance hedge ratio for various hedging horizons for a number of assets. The effectiveness of the dynamic multiscale hedging strategy is then tested, both in- and out-of-sample, using standard variance reduction and expanded to include a downside risk metric, the time horizon dependent Value-at-Risk. Measured using variance reduction, the effectiveness converges to one at longe","authors_text":"John Cotter, Thomas Conlon","cross_cats":["q-fin.GN","q-fin.PM"],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.RM","submitted_at":"2011-03-25T10:49:21Z","title":"An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1103.4943","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:d083fa173909388a8157bc8b5339897583af3d75a83ac360609ddab429dcd68b","target":"record","created_at":"2026-05-18T04:25:48Z","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":"bbfa7c1519fe63367ed5fb42cfd459bc3fcc31bd21124edd3848a4d20b1ec682","cross_cats_sorted":["q-fin.GN","q-fin.PM"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.RM","submitted_at":"2011-03-25T10:49:21Z","title_canon_sha256":"52c7b1def319638d10b67fae2a24e0272e36d56cb814e3e0e37d07d2b53e9dc9"},"schema_version":"1.0","source":{"id":"1103.4943","kind":"arxiv","version":1}},"canonical_sha256":"adc133f36f63a1a5ee28a1fee55b1a5daf669c2cd6ad935434a50e65ab54c7e1","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"adc133f36f63a1a5ee28a1fee55b1a5daf669c2cd6ad935434a50e65ab54c7e1","first_computed_at":"2026-05-18T04:25:48.340505Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-18T04:25:48.340505Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"rwZjGKr1dGFsuMWP1iv0ZYw0E8TyFZrDIJEMmuevLXaYN7YNhYm2ATb1Ozz0ndayBGbeXYAFPAAdr1iFhicBDg==","signature_status":"signed_v1","signed_at":"2026-05-18T04:25:48.341066Z","signed_message":"canonical_sha256_bytes"},"source_id":"1103.4943","source_kind":"arxiv","source_version":1}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:d083fa173909388a8157bc8b5339897583af3d75a83ac360609ddab429dcd68b","sha256:482be35fe2b35fae1dc85fd1a8eb39271c744be25575998a1537e89c4e1059be"],"state_sha256":"30f9e95a363dbf7adea984846566256e18a3ac4d4a78e5b46a3b7cdb13e37989"},"bundle_signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"MyTxPD5WWWlU6VDGMRcm53cAP8n5LV/oBwWopBnlSDWxOB6KLw79Ar26JC5Av4kqgZakYs7CiN9IwyNatep4Bg==","signed_message":"bundle_sha256_bytes","signed_at":"2026-06-27T05:18:53.578964Z","bundle_sha256":"f1bd85053540d07a29324725c2ecccc2163a9add94af56c1a8ab23ecfc5f38fd"}}