Jean–François Muzy
- Hawkes processes in finance
2015/02/16 by Emmanuel Bacry, Iacopo Mastromatteo, Bacry, Emmanuel +3 · 20 citations
Mathematics · #Point processes and geometric inequalities
- Hawkes model for price and trades high-frequency dynamics
2013/01/07 by Emmanuel Bacry, Bacry, E., Jean–François Muzy +1 · 5 citations
Biochemistry, Genetics and Molecular Biology · Mathematics · #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)
- Second order statistics characterization of Hawkes processes and\n non-parametric estimation
2014/01/05 by Emmanuel Bacry, Jean–François Muzy, Bacry, Emmanuel +1 · 4 citations
Biochemistry, Genetics and Molecular Biology · Mathematics · #Diffusion and Search Dynamics #FOS: Computer and information sciences #FOS: Economics and business #FOS: Mathematics #FOS: Physical sciences #Geophysics (physics.geo-ph) #Methodology (stat.ME) #Point processes and geometric inequalities #Statistical Finance (q-fin.ST) #Statistics Theory (math.ST) #Trading and Market Microstructure (q-fin.TR)
- Uncovering Causality from Multivariate Hawkes Integrated Cumulants
2016/07/21 by Massil Achab, Achab, Massil, Emmanuel Bacry +7 · 3 citations
Biochemistry, Genetics and Molecular Biology · Computer Science · Mathematics · #Bayesian Methods and Mixture Models #Diffusion and Search Dynamics #FOS: Computer and information sciences #Machine Learning (cs.LG) #Machine Learning (stat.ML) #Point processes and geometric inequalities
- The Dynamics of Financial Markets -- Mandelbrot's multifractal cascades, and beyond
2005/01/12 by Lisa Borland, Borland, Lisa, Jean‐Philippe Bouchaud +5 · 2 citations
Economics, Econometrics and Finance · Physics and Astronomy · #Complex Systems and Time Series Analysis #Financial Risk and Volatility Modeling #Chaos control and synchronization
- 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)
- Scaling limits for Hawkes processes and application to financial\n statistics
2012/02/03 by Emmanuel Bacry, Sylvain Delattre, Bacry, Emmanuel +5 · 2 citations
Biochemistry, Genetics and Molecular Biology · Mathematics · #60F05 #60G55 #62M10 #Diffusion and Search Dynamics #FOS: Mathematics #Point processes and geometric inequalities #Probability (math.PR) #Stochastic processes and statistical mechanics