Muzy, Jean-François
- Hawkes processes in finance
2015/02/16 by Emmanuel Bacry, Iacopo Mastromatteo, Bacry, Emmanuel +3 · 20 citations
Mathematics · #Point processes and geometric inequalities
- Sparse and low-rank multivariate Hawkes processes
2015/01/04 by Bacry, Emmanuel, Bompaire, Martin, Gaïffas, Stéphane +1 · 6 citations
#FOS: Computer and information sciences #Machine Learning (stat.ML)
- Queue-reactive Hawkes models for the order flow
2019/01/25 by Peng Wu, Wu, Peng, Marcello Rambaldi +5 · 2 citations
Economics, Econometrics and Finance · Mathematics · #FOS: Economics and business #Financial Risk and Volatility Modeling #Point processes and geometric inequalities #Statistical Methods and Bayesian Inference #Trading and Market Microstructure (q-fin.TR)
- No Tick-Size Too Small: A General Method for Modelling Small Tick Limit Order Books
2024/10/11 by Jain, Konark, Muzy, Jean-François, Kochems, Jonathan +1 · 2 citations
#Computational Engineering #Computational Finance (q-fin.CP) #FOS: Computer and information sciences #FOS: Economics and business #Finance #Trading and Market Microstructure (q-fin.TR) #and Science (cs.CE)