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Emmanuel Bacry

Identifiers

  • name variant Emmanuel Bacry 0.60 · backfill

Papers (20)

  1. Queue-reactive Hawkes models for the order flow q-fin.TR · 2019 · author #4
  2. Disentangling and quantifying market participant volatility contributions q-fin.TR · 2018 · author #2
  3. Dual optimization for convex constrained objectives without the gradient-Lipschitz assumption stat.ML · 2018 · author #2
  4. ConvSCCS: convolutional self-controlled case series model for lagged adverse event detection stat.AP · 2017 · author #2
  5. Tick: a Python library for statistical learning, with a particular emphasis on time-dependent modelling stat.ML · 2017 · author #1
  6. Analysis of order book flows using a nonparametric estimation of the branching ratio matrix q-fin.TR · 2017 · author #2
  7. Uncovering Causality from Multivariate Hawkes Integrated Cumulants stat.ML · 2016 · author #2
  8. The role of volume in order book dynamics: a multivariate Hawkes process analysis q-fin.TR · 2016 · author #2
  9. Mean-field inference of Hawkes point processes cs.LG · 2015 · author #1
  10. Hawkes processes in finance q-fin.TR · 2015 · author #1
  11. Concentration for matrix martingales in continuous time and microscopic activity of social networks math.PR · 2014 · author #1
  12. Estimation of slowly decreasing Hawkes kernels: Application to high frequency order book modelling q-fin.ST · 2014 · author #1
  13. Linear processes in high-dimension: phase space and critical properties cond-mat.stat-mech · 2014 · author #2
  14. Market impacts and the life cycle of investors orders q-fin.TR · 2014 · author #1
  15. Second order statistics characterization of Hawkes processes and non-parametric estimation stat.ME · 2014 · author #1
  16. Intermittent process analysis with scattering moments stat.ME · 2013 · author #3
  17. Scaling limits for Hawkes processes and application to financial statistics math.PR · 2012 · author #1
  18. The nature of price returns during periods of high market activity q-fin.TR · 2010 · author #2
  19. Multifractal analysis in a mixed asymptotic framework math.PR · 2008 · author #1
  20. Extreme values and fat tails of multifractal fluctuations cond-mat.stat-mech · 2005 · author #2

Mentions

  • 1502.04592 #1 · backfill · confidence 0.70 Emmanuel Bacry
  • 1412.7705 #1 · backfill · confidence 0.70 Emmanuel Bacry
  • 1412.7096 #1 · backfill · confidence 0.70 Emmanuel Bacry
  • 1412.6998 #2 · backfill · confidence 0.70 Emmanuel Bacry
  • 1412.0217 #1 · backfill · confidence 0.70 Emmanuel Bacry
  • 1401.0903 #1 · backfill · confidence 0.70 Emmanuel Bacry
  • 1311.4104 #3 · backfill · confidence 0.70 Emmanuel Bacry
  • 1202.0842 #1 · backfill · confidence 0.70 Emmanuel Bacry
  • 1010.4226 #2 · backfill · confidence 0.70 Emmanuel Bacry
  • 0805.0194 #1 · backfill · confidence 0.70 Emmanuel Bacry

Frequent Coauthors