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Bacry, Emmanuel

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Author ID: bacry.emmanuel Recent zbMATH articles by "Bacry, Emmanuel"
Published as: Bacry, E.; Bacry, Emmanuel
Documents Indexed: 40 Publications since 1992

Publications by Year

Citations contained in zbMATH Open

36 Publications have been cited 622 times in 411 Documents Cited by Year
Log-infinitely divisible multifractal processes. Zbl 1032.60046
Bacry, E.; Muzy, J. F.
84
2003
Modelling microstructure noise with mutually exciting point processes. Zbl 1280.91073
Bacry, E.; Delattre, S.; Hoffmann, M.; Muzy, J. F.
60
2013
Some limit theorems for Hawkes processes and application to financial statistics. Zbl 1292.60032
Bacry, E.; Delattre, S.; Hoffmann, M.; Muzy, J. F.
56
2013
Modelling financial time series using multifractal random walks. Zbl 0974.91045
Bacry, E.; Delour, J.; Muzy, J. F.
50
2001
Singularity spectrum of fractal signals from wavelet analysis: Exact results. Zbl 0943.37500
Bacry, E.; Muzy, J. F.; Arnéodo, A.
45
1993
The multifractal formalism revisited with wavelets. Zbl 0807.58032
Muzy, J. F.; Bacry, E.; Arneodo, A.
39
1994
A wavelet based space-time adaptive numerical method for partial differential equations. Zbl 0768.65062
Bacry, E.; Mallat, S.; Papanicolaou, G.
31
1992
Hawkes model for price and trades high-frequency dynamics. Zbl 1402.91750
Bacry, Emmanuel; Muzy, Jean-François
29
2014
Continuous cascade models for asset returns. Zbl 1181.91338
Bacry, E.; Kozhemyak, A.; Muzy, Jean-François
23
2008
Random cascades on wavelet dyadic trees. Zbl 0931.28008
Arneodo, A.; Bacry, E.; Muzy, J. F.
22
1998
The thermodynamics of fractals revisited with wavelets. Zbl 1064.80002
Arneodo, A.; Bacry, E.; Muzy, J. F.
21
2004
First- and second-order statistics characterization of Hawkes processes and non-parametric estimation. Zbl 1359.62160
Bacry, Emmanuel; Muzy, Jean-François
19
2016
Singularity spectrum of multifractal functions involving oscillating singularities. Zbl 0914.28005
Arneodo, A.; Bacry, E.; Jaffard, S.; Muzy, J. F.
18
1998
Harmonic decomposition of audio signals with matching pursuit. Zbl 1369.94158
Gribonval, Rémi; Bacry, Emmanuel
13
2003
Beyond classical multifractal analysis using wavelets: uncovering a multiplicative process hidden in the geometrical complexity of diffusion limited aggregates. Zbl 0901.58028
Arneodo, A.; Argoul, F.; Muzy, J. F.; Tabard, M.; Bacry, E.
9
1993
Wavelet-based estimators of scaling behavior. Zbl 1062.94509
Audit, Benjamin; Bacry, Emmanuel; Muzy, Jean-François; Arneodo, Alain
9
2002
Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics. Zbl 1400.62232
Bacry, Emmanuel; Jaisson, Thibault; Muzy, Jean-François
9
2016
Multifractal analysis in a mixed asymptotic framework. Zbl 1252.60036
Bacry, Emmanuel; Gloter, Arnaud; Hoffmann, Marc; Muzy, Jean François
9
2010
Log-normal continuous cascade model of asset returns: aggregation properties and estimation. Zbl 1281.91127
Bacry, E.; Kozhemyak, A.; Muzy, J. F.
9
2013
Oscillating singularities on Cantor sets: A grand-canonical multifractal formalism. Zbl 0917.28007
Arneodo, A.; Bacry, E.; Jaffard, S.; Muzy, J. F.
8
1997
Mean-field inference of Hawkes point processes. Zbl 1354.62004
Bacry, Emmanuel; Gaïffas, Stéphane; Mastromatteo, Iacopo; Muzy, Jean-François
7
2016
Intermittent process analysis with scattering moments. Zbl 1308.62168
Bruna, Joan; Mallat, Stéphane; Bacry, Emmanuel; Muzy, Jean-François
6
2015
Multifractal formalism for singular signals based on wavelet analysis. Zbl 0878.94025
Muzy, J. F.; Bacry, E.; Arneodo, A.
6
1993
The role of volume in order book dynamics: a multivariate Hawkes process analysis. Zbl 1402.91729
Rambaldi, Marcello; Bacry, Emmanuel; Lillo, Fabrizio
5
2017
Continuous-time skewed multifractal processes as a model for financial returns. Zbl 1253.60054
Bacry, Emmanuel; Duvernet, Laurent; Muzy, Jean-François
5
2012
Extreme values and fat tails of multifractal fluctuations. Zbl 1244.82026
Muzy, Jean-François; Bacry, Emmanuel; Kozhemyak, A.
5
2006
Uncovering causality from multivariate Hawkes integrated cumulants. Zbl 06982948
Achab, Massil; Bacry, Emmanuel; Gaïffas, Stéphane; Mastromatteo, Iacopo; Muzy, Jean-François
4
2018
Audio denoising by time-frequency block thresholding. Zbl 1390.94498
Yu, Guoshen; Mallat, Stéphane; Bacry, Emmanuel
4
2008
Wavelet transform of fractals. I: From the transition to chaos to fully developed turbulence. II: Optical wavelet transform of fractal growth phenomena. Zbl 0754.58023
Arneodo, A.; Argoul, F.; Bacry, E.; Elezgaray, J.; Freysz, E.; Grasseau, G.; Muzy, J. F.; Pouligny, B.
3
1992
Uncovering a multiplicative process in one-dimensional cuts of diffusion-limited aggregates. Zbl 0862.65100
Arneodo, A.; Argoul, F.; Bacry, E.; Muzy, J. F.; Tabard, M.
3
1995
Oscillating singularities and fractal functions. Zbl 1003.28007
Arneodo, A.; Bacry, E.; Jaffard, S.; Muzy, J. F.
3
1999
Uncovering the quasifractality of diffusion limited aggregates with wavelets. Towards a statistical thermodynamics of Laplacian fractals. Zbl 0882.28007
Arneodo, A.; Argoul, F.; Bacry, E.; Elezgaray, J.; Muzy, J. F.; Tabard, M.
2
1993
A wavelet space-time adaptive scheme for partial differential equations. Zbl 0880.65078
Bacry, Emmanuel; Mallat, Stéphane; Papanicolaou, George
2
1993
Analysis of order book flows using a non-parametric estimation of the branching ratio matrix. Zbl 1405.62135
Achab, M.; Bacry, E.; Muzy, J. F.; Rambaldi, M.
2
2018
Concentration inequalities for matrix martingales in continuous time. Zbl 1407.60004
Bacry, Emmanuel; Gaïffas, Stéphane; Muzy, Jean-François
1
2018
tick: a Python library for statistical learning, with an emphasis on Hawkes processes and time-dependent models. Zbl 06982970
Bacry, Emmanuel; Bompaire, Martin; Deegan, Philip; Gaïffas, Stéphane; Poulsen, Søren V.
1
2018
Uncovering causality from multivariate Hawkes integrated cumulants. Zbl 06982948
Achab, Massil; Bacry, Emmanuel; Gaïffas, Stéphane; Mastromatteo, Iacopo; Muzy, Jean-François
4
2018
Analysis of order book flows using a non-parametric estimation of the branching ratio matrix. Zbl 1405.62135
Achab, M.; Bacry, E.; Muzy, J. F.; Rambaldi, M.
2
2018
Concentration inequalities for matrix martingales in continuous time. Zbl 1407.60004
Bacry, Emmanuel; Gaïffas, Stéphane; Muzy, Jean-François
1
2018
tick: a Python library for statistical learning, with an emphasis on Hawkes processes and time-dependent models. Zbl 06982970
Bacry, Emmanuel; Bompaire, Martin; Deegan, Philip; Gaïffas, Stéphane; Poulsen, Søren V.
1
2018
The role of volume in order book dynamics: a multivariate Hawkes process analysis. Zbl 1402.91729
Rambaldi, Marcello; Bacry, Emmanuel; Lillo, Fabrizio
5
2017
First- and second-order statistics characterization of Hawkes processes and non-parametric estimation. Zbl 1359.62160
Bacry, Emmanuel; Muzy, Jean-François
19
2016
Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics. Zbl 1400.62232
Bacry, Emmanuel; Jaisson, Thibault; Muzy, Jean-François
9
2016
Mean-field inference of Hawkes point processes. Zbl 1354.62004
Bacry, Emmanuel; Gaïffas, Stéphane; Mastromatteo, Iacopo; Muzy, Jean-François
7
2016
Intermittent process analysis with scattering moments. Zbl 1308.62168
Bruna, Joan; Mallat, Stéphane; Bacry, Emmanuel; Muzy, Jean-François
6
2015
Hawkes model for price and trades high-frequency dynamics. Zbl 1402.91750
Bacry, Emmanuel; Muzy, Jean-François
29
2014
Modelling microstructure noise with mutually exciting point processes. Zbl 1280.91073
Bacry, E.; Delattre, S.; Hoffmann, M.; Muzy, J. F.
60
2013
Some limit theorems for Hawkes processes and application to financial statistics. Zbl 1292.60032
Bacry, E.; Delattre, S.; Hoffmann, M.; Muzy, J. F.
56
2013
Log-normal continuous cascade model of asset returns: aggregation properties and estimation. Zbl 1281.91127
Bacry, E.; Kozhemyak, A.; Muzy, J. F.
9
2013
Continuous-time skewed multifractal processes as a model for financial returns. Zbl 1253.60054
Bacry, Emmanuel; Duvernet, Laurent; Muzy, Jean-François
5
2012
Multifractal analysis in a mixed asymptotic framework. Zbl 1252.60036
Bacry, Emmanuel; Gloter, Arnaud; Hoffmann, Marc; Muzy, Jean François
9
2010
Continuous cascade models for asset returns. Zbl 1181.91338
Bacry, E.; Kozhemyak, A.; Muzy, Jean-François
23
2008
Audio denoising by time-frequency block thresholding. Zbl 1390.94498
Yu, Guoshen; Mallat, Stéphane; Bacry, Emmanuel
4
2008
Extreme values and fat tails of multifractal fluctuations. Zbl 1244.82026
Muzy, Jean-François; Bacry, Emmanuel; Kozhemyak, A.
5
2006
The thermodynamics of fractals revisited with wavelets. Zbl 1064.80002
Arneodo, A.; Bacry, E.; Muzy, J. F.
21
2004
Log-infinitely divisible multifractal processes. Zbl 1032.60046
Bacry, E.; Muzy, J. F.
84
2003
Harmonic decomposition of audio signals with matching pursuit. Zbl 1369.94158
Gribonval, Rémi; Bacry, Emmanuel
13
2003
Wavelet-based estimators of scaling behavior. Zbl 1062.94509
Audit, Benjamin; Bacry, Emmanuel; Muzy, Jean-François; Arneodo, Alain
9
2002
Modelling financial time series using multifractal random walks. Zbl 0974.91045
Bacry, E.; Delour, J.; Muzy, J. F.
50
2001
Oscillating singularities and fractal functions. Zbl 1003.28007
Arneodo, A.; Bacry, E.; Jaffard, S.; Muzy, J. F.
3
1999
Random cascades on wavelet dyadic trees. Zbl 0931.28008
Arneodo, A.; Bacry, E.; Muzy, J. F.
22
1998
Singularity spectrum of multifractal functions involving oscillating singularities. Zbl 0914.28005
Arneodo, A.; Bacry, E.; Jaffard, S.; Muzy, J. F.
18
1998
Oscillating singularities on Cantor sets: A grand-canonical multifractal formalism. Zbl 0917.28007
Arneodo, A.; Bacry, E.; Jaffard, S.; Muzy, J. F.
8
1997
Uncovering a multiplicative process in one-dimensional cuts of diffusion-limited aggregates. Zbl 0862.65100
Arneodo, A.; Argoul, F.; Bacry, E.; Muzy, J. F.; Tabard, M.
3
1995
The multifractal formalism revisited with wavelets. Zbl 0807.58032
Muzy, J. F.; Bacry, E.; Arneodo, A.
39
1994
Singularity spectrum of fractal signals from wavelet analysis: Exact results. Zbl 0943.37500
Bacry, E.; Muzy, J. F.; Arnéodo, A.
45
1993
Beyond classical multifractal analysis using wavelets: uncovering a multiplicative process hidden in the geometrical complexity of diffusion limited aggregates. Zbl 0901.58028
Arneodo, A.; Argoul, F.; Muzy, J. F.; Tabard, M.; Bacry, E.
9
1993
Multifractal formalism for singular signals based on wavelet analysis. Zbl 0878.94025
Muzy, J. F.; Bacry, E.; Arneodo, A.
6
1993
Uncovering the quasifractality of diffusion limited aggregates with wavelets. Towards a statistical thermodynamics of Laplacian fractals. Zbl 0882.28007
Arneodo, A.; Argoul, F.; Bacry, E.; Elezgaray, J.; Muzy, J. F.; Tabard, M.
2
1993
A wavelet space-time adaptive scheme for partial differential equations. Zbl 0880.65078
Bacry, Emmanuel; Mallat, Stéphane; Papanicolaou, George
2
1993
A wavelet based space-time adaptive numerical method for partial differential equations. Zbl 0768.65062
Bacry, E.; Mallat, S.; Papanicolaou, G.
31
1992
Wavelet transform of fractals. I: From the transition to chaos to fully developed turbulence. II: Optical wavelet transform of fractal growth phenomena. Zbl 0754.58023
Arneodo, A.; Argoul, F.; Bacry, E.; Elezgaray, J.; Freysz, E.; Grasseau, G.; Muzy, J. F.; Pouligny, B.
3
1992
all top 5

Cited by 645 Authors

21 Bacry, Emmanuel
19 Muzy, Jean-François
15 Jaffard, Stéphane
15 Vargas, Vincent
14 Barral, Julien
12 Ben Slimane, Mourad
12 Rhodes, Rémi
11 Ostrovskii, Dmitrii M.
11 Zhu, Lingjiong
9 Abry, Patrice
9 Rosenbaum, Mathieu
8 Bouchaud, Jean-Philippe
8 Mélot, Clothilde
7 Abid, Moez Ben
7 Arneodo, Alain
7 Leonenko, Nikolai N.
7 Seol, Youngsoo
7 Seuret, Stéphane
7 Sornette, Didier
7 Wendt, Herwig
6 Ben Omrane, Ines
6 Jin, Xiong
6 Leonarduzzi, Roberto
5 Ben Mabrouk, Anouar
5 Fyodorov, Yan V.
5 Hainaut, Donatien
5 Halouani, Borhen
5 Hoffmann, Marc R.
5 Mallat, Stephane Georges
5 Roux, Stéphane G.
4 Bruna, Joan
4 Chevillard, Laurent
4 Gao, Xuefeng
4 Garban, Christophe
4 Jaisson, Thibault
4 Kupiainen, Antti
4 Lillo, Fabrizio
4 Ludeña, Carenne C.
4 Robert, Raoul
4 Saksman, Eero
4 Vasilyev, Oleg V.
4 Webb, Christian
3 Bormetti, Giacomo
3 de la Llave Plata, Marta
3 Delattre, Sylvain
3 Di matteo, Tiziana
3 Domingues, Margarete O.
3 Duvernet, Laurent
3 El Euch, Omar
3 Gaïffas, Stéphane
3 Gao, Fuqing
3 Gomes, Sônia Maria
3 Horst, Ulrich
3 Kozhemyak, Anastasia
3 Lewalle, Jacques
3 Pavlov, Alexey N.
3 Pavlova, Olga N.
3 Rambaldi, Marcello
3 Struzik, Zbigniew R.
3 Xiong, Gang
3 Yoshida, Nakahiro
3 Zhang, Shuning
2 Abdurashitov, A. S.
2 Abergel, Frédéric
2 Achab, Massil
2 Allez, Romain
2 Anh, Vo V.
2 Aouidi, Jamil
2 Astala, Kari
2 Audit, Benjamin
2 Bastin, Françoise
2 Berestycki, Nathanaël
2 Bernis, Guillaume
2 Bianchi, Sergio
2 Blanc, Pierre
2 Bompaire, Martin
2 Buonocore, Riccardo J.
2 Cant, R. Stewart
2 Cant, Stewart
2 Chainais, Pierre
2 Chang, Woojin
2 Choe, Geon Ho
2 Clinet, Simon
2 da Silva, Eduardo A. B.
2 Dassios, Angelos
2 De Canditiis, Daniela
2 Denisov, Denis E.
2 Diniz, Paulo Sergio Ramirez
2 Dion, Charlotte
2 Duchon, Jean
2 Duplantier, Bertrand
2 Durand, Arnaud
2 Filimonov, Vladimir A.
2 Fodra, Pietro
2 Fournier, Nicolas G.
2 Gamboa, Fabrice
2 Gebbie, Tim
2 Gloter, Arnaud
2 Grahovac, Danijel
2 Guo, Kanghui
...and 545 more Authors
all top 5

Cited in 136 Serials

38 Quantitative Finance
13 Journal of Computational Physics
12 Physica A
11 Communications in Mathematical Physics
11 Chaos, Solitons and Fractals
11 The Annals of Applied Probability
11 Stochastic Processes and their Applications
10 The Annals of Probability
10 Applied and Computational Harmonic Analysis
9 Statistics & Probability Letters
8 Journal of Statistical Physics
8 Bernoulli
8 The Journal of Fourier Analysis and Applications
7 Chaos
7 International Journal of Wavelets, Multiresolution and Information Processing
6 Advances in Applied Probability
6 Applied Mathematics and Computation
6 Physica D
6 Fractals
5 Journal of Applied Probability
5 Probability Theory and Related Fields
5 Journal of Machine Learning Research (JMLR)
5 Comptes Rendus. Mathématique. Académie des Sciences, Paris
5 SIAM Journal on Financial Mathematics
4 The Annals of Statistics
4 Signal Processing
4 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
4 Annales Henri Poincaré
3 Journal of Fluid Mechanics
3 Journal of Mathematical Physics
3 Journal of Computational and Applied Mathematics
3 Stochastic Analysis and Applications
3 Journal of Economic Dynamics & Control
3 Finance and Stochastics
3 International Journal of Theoretical and Applied Finance
3 Communications in Nonlinear Science and Numerical Simulation
3 Mediterranean Journal of Mathematics
3 Journal of Statistical Mechanics: Theory and Experiment
3 Mathematics and Financial Economics
2 Computer Methods in Applied Mechanics and Engineering
2 Communications on Pure and Applied Mathematics
2 Journal of the Franklin Institute
2 Journal of Mathematical Analysis and Applications
2 Letters in Mathematical Physics
2 Nonlinearity
2 Reviews in Mathematical Physics
2 Annals of the Institute of Statistical Mathematics
2 Journal of Functional Analysis
2 Journal of the Korean Mathematical Society
2 Applied Numerical Mathematics
2 Computational Statistics and Data Analysis
2 Journal of Mathematical Imaging and Vision
2 Physics of Fluids
2 Integral Transforms and Special Functions
2 Applied Mathematical Finance
2 Mathematical Problems in Engineering
2 Mathematical Finance
2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
2 Nonlinear Dynamics
2 Fractional Calculus & Applied Analysis
2 Discrete Dynamics in Nature and Society
2 Statistical Inference for Stochastic Processes
2 Acta Mathematica Sinica. English Series
2 Stochastic Models
2 Electronic Journal of Statistics
2 Probability Surveys
2 Journal of Function Spaces
2 Japanese Journal of Statistics and Data Science
1 Biological Cybernetics
1 Computers and Fluids
1 International Journal of Engineering Science
1 Mathematical Proceedings of the Cambridge Philosophical Society
1 Physics Letters. A
1 Rocky Mountain Journal of Mathematics
1 Mathematics of Computation
1 Acta Mathematica
1 Advances in Mathematics
1 International Journal for Numerical Methods in Engineering
1 Mathematics and Computers in Simulation
1 Mathematics of Operations Research
1 Meccanica
1 Numerische Mathematik
1 Results in Mathematics
1 Theoretical Population Biology
1 Advances in Applied Mathematics
1 Insurance Mathematics & Economics
1 Journal of Time Series Analysis
1 Circuits, Systems, and Signal Processing
1 Applied Mathematics and Mechanics. (English Edition)
1 Acta Applicandae Mathematicae
1 RAIRO. Modélisation Mathématique et Analyse Numérique
1 Constructive Approximation
1 Statistical Science
1 Revista Matemática Iberoamericana
1 Computers & Operations Research
1 Journal of Theoretical Probability
1 Queueing Systems
1 Journal of Scientific Computing
1 Annals of Operations Research
1 Neural Computation
...and 36 more Serials
all top 5

Cited in 41 Fields

196 Probability theory and stochastic processes (60-XX)
95 Statistics (62-XX)
89 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
75 Measure and integration (28-XX)
64 Harmonic analysis on Euclidean spaces (42-XX)
52 Numerical analysis (65-XX)
33 Fluid mechanics (76-XX)
32 Information and communication theory, circuits (94-XX)
25 Statistical mechanics, structure of matter (82-XX)
23 Partial differential equations (35-XX)
19 Biology and other natural sciences (92-XX)
18 Dynamical systems and ergodic theory (37-XX)
17 Real functions (26-XX)
14 Computer science (68-XX)
12 Functional analysis (46-XX)
11 Quantum theory (81-XX)
10 Geophysics (86-XX)
8 Operations research, mathematical programming (90-XX)
7 Linear and multilinear algebra; matrix theory (15-XX)
4 Number theory (11-XX)
4 Special functions (33-XX)
3 General topology (54-XX)
3 Optics, electromagnetic theory (78-XX)
2 Functions of a complex variable (30-XX)
2 Approximations and expansions (41-XX)
2 Calculus of variations and optimal control; optimization (49-XX)
2 Mechanics of deformable solids (74-XX)
2 Classical thermodynamics, heat transfer (80-XX)
2 Relativity and gravitational theory (83-XX)
1 General and overarching topics; collections (00-XX)
1 Mathematical logic and foundations (03-XX)
1 Combinatorics (05-XX)
1 Potential theory (31-XX)
1 Difference and functional equations (39-XX)
1 Abstract harmonic analysis (43-XX)
1 Integral transforms, operational calculus (44-XX)
1 Integral equations (45-XX)
1 Operator theory (47-XX)
1 Differential geometry (53-XX)
1 Mechanics of particles and systems (70-XX)
1 Systems theory; control (93-XX)

Citations by Year