{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2010:XAYAS6E3V3R6U7XR5EFSKNTJYS","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":"3e43b5006687809746f488709d1e542c9313c312463fbd8c61da1d4824a34ab7","cross_cats_sorted":["stat.AP","stat.CO"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"stat.ME","submitted_at":"2010-06-09T17:33:56Z","title_canon_sha256":"799670cf45ea30442f5255a7a19f18cf83699dfd07d81185b94daec83833c294"},"schema_version":"1.0","source":{"id":"1006.1860","kind":"arxiv","version":4}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1006.1860","created_at":"2026-05-18T03:36:37Z"},{"alias_kind":"arxiv_version","alias_value":"1006.1860v4","created_at":"2026-05-18T03:36:37Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1006.1860","created_at":"2026-05-18T03:36:37Z"},{"alias_kind":"pith_short_12","alias_value":"XAYAS6E3V3R6","created_at":"2026-05-18T12:26:17Z"},{"alias_kind":"pith_short_16","alias_value":"XAYAS6E3V3R6U7XR","created_at":"2026-05-18T12:26:17Z"},{"alias_kind":"pith_short_8","alias_value":"XAYAS6E3","created_at":"2026-05-18T12:26:17Z"}],"graph_snapshots":[{"event_id":"sha256:d669f06a6a72c7d784a447f2c164699e1365f772a55405e41ea7c212b4c318f7","target":"graph","created_at":"2026-05-18T03:36:37Z","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":"A technique for on-line estimation of spot volatility for high-frequency data is developed. The algorithm works directly on the transaction data and updates the volatility estimate immediately after the occurrence of a new transaction. Furthermore, a nonlinear market microstructure noise model is proposed that reproduces several stylized facts of high-frequency data. A computationally efficient particle filter is used that allows for the approximation of the unknown efficient prices and, in combination with a recursive EM algorithm, for the estimation of the volatility curve. We neither assume","authors_text":"Jan C. Neddermeyer, Rainer Dahlhaus","cross_cats":["stat.AP","stat.CO"],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"stat.ME","submitted_at":"2010-06-09T17:33:56Z","title":"On-line Spot Volatility-Estimation and Decomposition with Nonlinear Market Microstructure Noise Models"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1006.1860","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":"sha256:5e8bb2302fa63fab111e32738f1b6f6739e4f6840cc624b3e27786a5d1f5cd2b","target":"record","created_at":"2026-05-18T03:36:37Z","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":"3e43b5006687809746f488709d1e542c9313c312463fbd8c61da1d4824a34ab7","cross_cats_sorted":["stat.AP","stat.CO"],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"stat.ME","submitted_at":"2010-06-09T17:33:56Z","title_canon_sha256":"799670cf45ea30442f5255a7a19f18cf83699dfd07d81185b94daec83833c294"},"schema_version":"1.0","source":{"id":"1006.1860","kind":"arxiv","version":4}},"canonical_sha256":"b83009789baee3ea7ef1e90b253669c4b895bceb54b8f6bfb44e99300052cb74","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"b83009789baee3ea7ef1e90b253669c4b895bceb54b8f6bfb44e99300052cb74","first_computed_at":"2026-05-18T03:36:37.329274Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-18T03:36:37.329274Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"ue9xtPVZJL/O76ev7J5SaSZtw1B/Pd5jJKNaQJrYpQzAjBoHgj57rkIPIkDnW2wn+1eGrepNViRt4EqJeOFQAQ==","signature_status":"signed_v1","signed_at":"2026-05-18T03:36:37.329712Z","signed_message":"canonical_sha256_bytes"},"source_id":"1006.1860","source_kind":"arxiv","source_version":4}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:5e8bb2302fa63fab111e32738f1b6f6739e4f6840cc624b3e27786a5d1f5cd2b","sha256:d669f06a6a72c7d784a447f2c164699e1365f772a55405e41ea7c212b4c318f7"],"state_sha256":"789adc550ee60a7f208d041a2ebf606b653d62e54bb51fb6da2e10580663cd28"}