papers
Publications (11)
q-fin.TR2011
Modeling microstructure noise with mutually exciting point processes
E. Bacry, S. Delattre, M. Hoffmann +1
physics.data-an2007
Uncovering latent singularities from multifractal scaling laws in mixed asymptotic regime. Application to turbulence
J. F. Muzy, E. Bacry, R. Baile +1
cond-mat2000
Modelling fluctuations of financial time series: from cascade process to stochastic volatility model
J. F. Muzy, J. Delour, E. Bacry
q-fin.TR2013
Hawkes model for price and trades high-frequency dynamics
E. Bacry, J. F Muzy
cond-mat.stat-mech2002
Multifractal stationary random measures and multifractal random walks with log-infinitely divisible scaling laws
J. -F. Muzy, E. Bacry
cond-mat2000
A multifractal random walk
E. Bacry, J. Delour, J. F. Muzy
q-fin.ST2013
Random cascade model in the limit of infinite integral scale as the exponential of a non-stationary $1/f$ noise. Application to volatility fluctuations in stock markets
J. F. Muzy, R. Baile, E. Bacry
q-fin.TR2011
Non-parametric kernel estimation for symmetric Hawkes processes. Application to high frequency financial data
E. Bacry, K. Dayri, J. F. Muzy
cond-mat.stat-mech2002
Log-infinitely divisible multifractal processes
E. Bacry, J. F. Muzy
q-fin.ST2008
Log-Normal continuous cascades: aggregation properties and estimation. Application to financial time-series
E. Bacry, A. Kozhemyak, J. -F. Muzy
cond-mat.stat-mech2000
A multivariate multifractal model for return fluctuations
E. Bacry, J. Delour, J. F. Muzy