E. Bacry
- Modeling microstructure noise with mutually exciting point processes
2011/01/18 by Emmanuel Bacry, E. Bacry, Bacry, E. +9 · 9 citations
Economics, Econometrics and Finance · Mathematics · #Complex Systems and Time Series Analysis #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Stochastic processes and financial applications #Trading and Market Microstructure (q-fin.TR) #math.PR #q-fin.TR
- Hawkes model for price and trades high-frequency dynamics
2013/01/07 by Emmanuel Bacry, E. Bacry, Bacry, E. +3 · 6 citations
Biochemistry, Genetics and Molecular Biology · Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #Data Analysis #Diffusion and Search Dynamics #FOS: Economics and business #FOS: Physical sciences #Point processes and geometric inequalities #Statistics and Probability (physics.data-an) #Trading and Market Microstructure (q-fin.TR) #physics.data-an #q-fin.TR
- Multifractal random walk
2000/05/24 by Emmanuel Bacry, E. Bacry, J. Delour +2 · 3 citations
Economics, Econometrics and Finance · Physics and Astronomy · #Complex Systems and Time Series Analysis #Financial Risk and Volatility Modeling #Theoretical and Computational Physics #cond-mat
- Log-Normal continuous cascades: aggregation properties and estimation. Application to financial time-series
2008/04/01 by E. Bacry, Bacry, E., A. Kozhemyak +3 · 1 citation
Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #Applications (stat.AP) #Data Analysis #FOS: Computer and information sciences #FOS: Economics and business #FOS: Physical sciences #Statistical Finance (q-fin.ST) #Statistics and Probability (physics.data-an) #physics.data-an #q-fin.ST #stat.AP
- Uncovering latent singularities from multifractal scaling laws in mixed asymptotic regime. Application to turbulence
2007/11/30 by J. F. Muzy, Jean–François Muzy, Emmanuel Bacry +5 · 1 citation
Economics, Econometrics and Finance · Environmental Science · Mathematics · Physics and Astronomy · #Climate variability and models #Complex Systems and Time Series Analysis #Exponent #Financial Risk and Volatility Modeling #Fractal #Geometry #Gravitational singularity #Intermittency #Mandelbrot set #Mathematical analysis #Mathematics #Multifractal system #Physics #Quantum mechanics #Scaling #Singularity #Statistical physics #Turbulence #Universality (dynamical systems) #physics.data-an