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1

Hawkes Processes in Finance

Bacry, Emmanuel, Mastromatteo, Iacopo, Muzy, Jean-François

Journal:

Market Microstructure and Liquidity

Year:

2015

Language:

english

File:

PDF, 819 KB

english, 2015

2

Market Impacts and the Life Cycle of Investors Orders

Bacry, Emmanuel, Iuga, Adrian, Lasnier, Matthieu, Lehalle, Charles-Albert

Journal:

Market Microstructure and Liquidity

Year:

2015

Language:

english

File:

PDF, 1.64 MB

english, 2015

3

Hawkes model for price and trades high-frequency dynamics

Bacry, Emmanuel, Muzy, Jean-François

Journal:

Quantitative Finance

Year:

2014

Language:

english

File:

PDF, 726 KB

english, 2014

4

Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics

Bacry, Emmanuel, Jaisson, Thibault, Muzy, Jean–François

Journal:

Quantitative Finance

Year:

2016

Language:

english

File:

PDF, 6.61 MB

english, 2016

5

Self-Exclusion among Online Poker Gamblers: Effects on Expenditure in Time and Money as Compared to Matched Controls

Luquiens, Amandine, Dugravot, Aline, Panjo, Henri, Benyamina, Amine, Gaïffas, Stéphane, Bacry, Emmanuel

Journal:

International Journal of Environmental Research and Public Health

Year:

2019

Language:

english

File:

PDF, 2.40 MB

english, 2019

6

Statistical finance at the École Polytechnique, Paris: the informal FIESTA research group

Bacry, Emmanuel, Hoffmann, Marc, Rosenbaum, Mathieu

Journal:

Quantitative Finance

Year:

2012

Language:

english

File:

PDF, 1.11 MB

english, 2012

7

Intermittent process analysis with scattering moments

Bruna, Joan, Mallat, Stéphane, Bacry, Emmanuel, Muzy, Jean-François

Journal:

The Annals of Statistics

Year:

2015

Language:

english

File:

PDF, 1.06 MB

english, 2015

8

The role of volume in order book dynamics: a multivariate Hawkes process analysis

Rambaldi, Marcello, Bacry, Emmanuel, Lillo, Fabrizio

Journal:

Quantitative Finance

Year:

2016

Language:

english

File:

PDF, 16.24 MB

english, 2016

9

SCALPEL3: A scalable open-source library for healthcare claims databases

Bacry, Emmanuel, GaÃ¯ffas, StÃ©phane, Leroy, Fanny, Morel, Maryan, Nguyen, Dinh-Phong, Sebiat, Youcef, Sun, Dian

Journal:

International Journal of Medical Informatics

Year:

2020

File:

PDF, 994 KB

2020

10

Are asset return tail estimations related to volatility long-range correlations?

Emmanuel Bacry, Alexey Kozhemyak, Jean-François Muzy

Journal:

Physica A: Statistical Mechanics and its Applications

Year:

2006

Language:

english

File:

PDF, 374 KB

english, 2006

11

noise: Application to volatility fluctuations in stock markets

Muzy, Jean-François, Baïle, Rachel, Bacry, Emmanuel

Journal:

Physical Review E

Year:

2013

Language:

english

File:

PDF, 478 KB

english, 2013

12

SPIE Proceedings [SPIE SPIE's 1995 International Symposium on Optical Science, Engineering, and Instrumentation - San Diego, CA (Sunday 9 July 1995)] Wavelet Applications in Signal and Image Processing III - Wavelet analysis of DNA sequences

Bacry, Emmanuel, Arneodo, Alain, Muzy, Jean F., Graves, Pierre-Vincent, Laine, Andrew F., Unser, Michael A.

Year:

1995

Language:

english

File:

PDF, 422 KB

english, 1995

13

Multifractal stationary random measures and multifractal random walks with log infinitely divisible scaling laws

Muzy, Jean-François, Bacry, Emmanuel

Journal:

Physical Review E

Year:

2002

Language:

english

File:

PDF, 210 KB

english, 2002

14

Improving the Visibility of Financial Applications Among Signal Processing Researchers[From the Guest Editors]

Pollak, Ilya, Avellaneda, Marco, Bacry, Emmanuel, Cont, Rama, Kulkarni, Sanjeev

Journal:

IEEE Signal Processing Magazine

Year:

2011

Language:

english

File:

PDF, 2.12 MB

english, 2011

15

[IEEE ICASSP 2011 - 2011 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP) - Prague, Czech Republic (2011.05.22-2011.05.27)] 2011 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP) - Modeling microstructure noise using Hawkes processes

Bacry, Emmanuel, Delattre, Sylvain, Hoffmann, Marc, Muzy, Jean-Francois

Year:

2011

Language:

english

File:

PDF, 235 KB

english, 2011

16

[IEEE 2007 IEEE International Conference on Acoustics, Speech and Signal Processing - ICASSP '07 - Honolulu, HI, USA (2007.04.15-2007.04.20)] 2007 IEEE International Conference on Acoustics, Speech and Signal Processing - ICASSP '07 - Audio Signal Denoising with Complex Wavelets and Adaptive Block Attenuation

Yu, Guoshen, Bacry, Emmanuel, Mallat, Stephane

Year:

2007

Language:

english

File:

PDF, 4.90 MB

english, 2007

17

Linear processes in high dimensions: Phase space and critical properties

Mastromatteo, Iacopo, Bacry, Emmanuel, Muzy, Jean-François

Journal:

Physical Review E

Year:

2015

Language:

english

File:

PDF, 12.39 MB

english, 2015

18

MULTIFRACTAL ANALYSIS IN A MIXED ASYMPTOTIC FRAMEWORK

Emmanuel Bacry, Arnaud Gloter, Marc Hoffmann and Jean François Muzy

Journal:

The Annals of Applied Probability

Year:

2010

Language:

english

File:

PDF, 1.94 MB

english, 2010

19

First and second order statistics characterization of Hawkes processes and non-parametric estimation

Muzy, Jean-Francois, Bacry, Emmanuel

Journal:

IEEE Transactions on Information Theory

Year:

2016

Language:

english

File:

PDF, 1.38 MB

english, 2016

20

Continuous-Time Skewed Multifractal Processes as a Model for Financial Returns

Bacry, Emmanuel, Duvernet, Laurent, Muzy, Jean-François

Journal:

Journal of Applied Probability

Year:

2012

Language:

english

File:

PDF, 262 KB

english, 2012

21

Editorial

Evangelista, Gianpaolo, Kahrs, Mark, Bacry, Emmanuel

Journal:

EURASIP Journal on Advances in Signal Processing

Year:

2003

Language:

english

File:

PDF, 720 KB

english, 2003

22

Mean-field inference of Hawkes point processes

Bacry, Emmanuel, Gaïffas, Stéphane, Mastromatteo, Iacopo, Muzy, Jean-François

Journal:

Journal of Physics A Mathematical and Theoretical

Year:

2016

Language:

english

File:

PDF, 1.14 MB

english, 2016

23

Multifractal analysis in a mixed asymptotic framework

Bacry, Emmanuel, Gloter, Arnaud, Hoffmann, Marc, Muzy, Jean François

Journal:

The Annals of Applied Probability

Year:

2010

Language:

english

File:

PDF, 360 KB

english, 2010

24

Continuous-Time Skewed Multifractal Processes as a Model for Financial Returns

Bacry, Emmanuel, Duvernet, Laurent, Muzy, Jean-François

Journal:

Journal of Applied Probability

Year:

2012

Language:

english

File:

PDF, 299 KB

english, 2012

25

Febrile neutropenia in adjuvant and neoadjuvant chemotherapy for breast cancer: a retrospective study in routine clinical practice from a single institution

Bacrie, Joy, Laurans, Marc, Iorio, Pauline, Fourme, Emmanuelle, Volters, Anne Béthune, Bozec, Laurence, Lerebours, Florence, Dubot, Coraline, Bensaoula, Okba, Benzidane, Bilel, Pierga, Jean-Yves, Lefe

Journal:

Supportive Care in Cancer

Year:

2018

Language:

english

File:

PDF, 467 KB

english, 2018

26

Disentangling and quantifying market participant volatility contributions

Rambaldi, Marcello, Bacry, Emmanuel, Muzy, Jean-François

Journal:

Quantitative Finance

Year:

2019

Language:

english

File:

PDF, 866 KB

english, 2019

27

Self-Exclusion among Online Poker Gamblers: Effects on Expenditure in Time and Money as Compared to Matched Controls

Luquiens, Amandine, Dugravot, Aline, Panjo, Henri, Benyamina, Amine, Gaïffas, Stéphane, Bacry, Emmanuel

Journal:

International Journal of Environmental Research and Public Health

Year:

2019

File:

PDF, 2.40 MB

2019

28

ZiMM: A deep learning model for long term and blurry relapses with non-clinical claims data

Kabeshova, Anastasiia, Yu, Yiyang, Lukacs, Bertrand, Bacry, Emmanuel, GaÃ¯ffas, StÃ©phane

Journal:

Journal of Biomedical Informatics

Year:

2020

File:

PDF, 2.15 MB

2020