Browsing CEREMADE (UMR CNRS 7534) by Author "Muzy, Jean-François"
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Concentration inequalities for matrix martingales in continuous time
Bacry, Emmanuel; Muzy, Jean-François; Gaïffas, Stéphane (2018) Article accepté pour publication ou publié -
Disentangling and quantifying market participant volatility contributions
Rambaldi, Marcello; Bacry, Emmanuel; Muzy, Jean-François (2019) Article accepté pour publication ou publié -
Modelling microstructure noise with mutually exciting point processes
Muzy, Jean-François; Hoffmann, Marc; Delattre, Sylvain; Bacry, Emmanuel (2013) Article accepté pour publication ou publié -
Queue-reactive Hawkes models for the order flow
Wu, Peng; Rambaldi, Marcello; Muzy, Jean-François; Bacry, Emmanuel (2019) Document de travail / Working paper -
Some limit theorems for Hawkes processes and application to financial statistics
Muzy, Jean-François; Delattre, Sylvain; Hoffmann, Marc; Bacry, Emmanuel (2013) Article accepté pour publication ou publié -
Sparse and low-rank multivariate Hawkes processes
Bacry, Emmanuel; Bompaire, Martin; Gaïffas, Stéphane; Muzy, Jean-François (2020) Article accepté pour publication ou publié -
Uncovering Causality from Multivariate Hawkes Integrated Cumulants
Achab, Massil; Bacry, Emmanuel; Gaïffas, Stéphane; Mastromatteo, Iacopo; Muzy, Jean-François (2017) Article accepté pour publication ou publié