Jean-François Muzy

According to our database, Jean-François Muzy authored at least 9 papers between 2002 and 2024.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2024

No Tick-Size Too Small: A General Method for Modelling Small Tick Limit Order Books.

Konark Jain, Jean-François Muzy, Jonathan Kochems, Emmanuel Bacry

CoRR, 2024

2023

Agent market orders representation through a contrastive learning approach.

Ruihua Ruan, Emmanuel Bacry, Jean-François Muzy

CoRR, 2023

2020

Sparse and low-rank multivariate Hawkes processes.

Emmanuel Bacry, Martin Bompaire, Stéphane Gaïffas, Jean-François Muzy

J. Mach. Learn. Res., 2020

2017

Uncovering Causality from Multivariate Hawkes Integrated Cumulants.

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

J. Mach. Learn. Res., 2017

2016

First- and Second-Order Statistics Characterization of Hawkes Processes and Non-Parametric Estimation.

Emmanuel Bacry, Jean-François Muzy

IEEE Trans. Inf. Theory, 2016

2015

Mean-field inference of Hawkes point processes.

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

CoRR, 2015

2012

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

Emmanuel Bacry, Laurent Duvernet, Jean-François Muzy

J. Appl. Probab., 2012

2011

Modeling microstructure noise using Hawkes processes.

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

Proceedings of the IEEE International Conference on Acoustics, 2011

2002

Wavelet-based estimators of scaling behavior.

Benjamin Audit, Emmanuel Bacry, Jean-François Muzy, Alain Arneodo

IEEE Trans. Inf. Theory, 2002