Bibliography


Papers, Students/PostDocs/Engineers, Contracts/Partnerships, Proceedings, Diploma, Radio Shows, Book,

For some of the papers, you can read the abstract and/or download an electronic version.



Papers

  • ConvSCCS: convolutional self-controlled case-seris model for lagged adverser event detection. (Arxiv link)
    M.Morel, E.Bacry, S.Gaiffas, A.Guilloux, F.Leroy
    PrePrint (2018)

  • Analysis of order book flows using a nonparametric estimation of the branching ratio matrix. (Arxiv link)
    M.Achab, E.Bacry, J.-F.Muzy, M.Rambaldi
    Quantitative Finance, Volume 18, Issue 2 (2018)

  • tick: a Python library for statistical learning, with a particular emphasis on time-dependent modeling. (Arxiv link)
    M.Achab, E.Bacry, M.Bompaire, S.Gaiffas, S.Poulsen
    PrePrint (2017)

  • Concentration for matrix martingales in continuous time and microscopic activity of social networks. (Arxiv link)
    E.Bacry, S.Gaïffas, J.-F.Muzy
    Probability Theory and Related Fields (2017)

  • Uncovering Causality from Multivariate Hawkes Integrated Cumulants.
    M.Achab, E.Bacry, S.Gaïffas, I.Mastromatteo, J.-F.Muzy
    ICML and Journal of Machine Learning (2017)

  • The role of volume in order book dynamics: a multivariate Hawkes process analysis (Arxiv link)
    M. Rambaldi, E.Bacry, F.Lillo,
    Quantitative Finance Vol. 17, Issue 7 (2017)

  • SGD with Variance Reduction beyond Empirical Risk Minimization (Arxiv link)
    M.Achab, A.Guilloux, S.Gaiffas, E.Bacry
    International Conference of Monte Carlo Methods and Applications (2017)

  • Mean-field inference of Hawkes point processes (Arxiv link)
    E.Bacry, S.Gaïffas, I.Mastromatteo, J.-F.Muzy,
    Journ. of Phys. A, Volume 49, Number 17, 2016

  • Estimation of slowly decreasing Hawkes kernels: Application to high frequency order book modelling. (abstract and/or ftp)
    E.Bacry, T.Jaisson, J.-F.Muzy
    Quantitative Finance Vol. 16 , Iss. 8 (2016)

  • Second order statistics characterization of Hawkes processes and non-parametric estimation. (abstract and/or ftp)
    E. Bacry, J.F. Muzy
    Trans. in Inf. Theory, Vol.2 Iss. 4 (2016)
  • Hawkes processes in finance. (abstract and/or ftp)
    E.Bacry, I.Mastromatteo, J.-F.Muzy
    Market Microstructure and Liquidity Vol. 01, No. 01, 1550005 (2015).

  • A generalization error bound for sparse and low-rank multivariate Hawkes processes. . (abstract and/or ftp)
    E.Bacry, S.Gaïffas, J.-F.Muzy
    PrePrint, 2015

  • Linear processes in high-dimension: phase space and critical properties. (abstract and/or ftp)
    I.Mastromatteo, E.Bacry, J.-F.Muzy
    Physical Review E (Vol.91, No.4), 2015

  • Market impacts and the life cycle of investors orders. (abstract and/or ftp)
    E. Bacry, A.Iuga, M.Lasnier, C-A.Lehalle
    Market Microstructure and Liquidity Vol. 1, No. 2 (2015)

  • Intermittent process analysis with scattering moments. (abstract and/or ftp)
    J. Bruna , S. Mallat, E. Bacry, J.F. Muzy
    Annals of Statistics, Vol. 43, No. 1, 323-351 (2015).

  • Hawkes Model for price and trades high-frequency dynamics. (abstract and/or ftp)
    E. Bacry , J.F. Muzy
    Quantitative Finance, Vol. 14, Issue 7 (2014)

  • Random cascade models in the limit of infinite integral scale as the exponential of a non stationary 1/f noise. Application to volatility fluctuations in stick markets . (abstract and/or ftp)
    J.F. Muzy, R. Baïle, E. Bacry
    Phys. Rev. E, Vol. 87, No. 4 (2013)

  • Scaling limits for Hawkes processes and application to financial statistics . (abstract
    E. Bacry, S. Delattre, M. Hoffmann, J.F. Muzy
    Stochastic Processes and Applications, Volume 123, Issue 7, pp 2475-2499 (2013)

  • Modelling microstructure noise with mutually exciting point processes. (abstract and/or ftp)
    E. Bacry, S. Delattre, M. Hoffmann, J.F. Muzy
    Quantitative finance, Volume 13, Issue 1, January 2013, pages 65-77

  • Log-Normal continuous cascades: aggregation properties and estimation. Application to financial time-series. (abstract and/or ftp)
    E.Bacry, A.Kozhemyak, J.F.Muzy
    Quantitative finance, Volume 13, Issue 5, pp 795-818 (2013)

  • Non-parametric kernel estimation for symmetric Hawkes processes. Application to high frequency financial data. (abstract and/or ftp)
    K. Al Dayri, E. Bacry, J.F.Muzy
    Eur. Phys. J. B, 85: 157 (2012).

  • Continuous-time skewed multifractal processes as a model for financial returns. (abstract and/or ftp)
    E.Bacry, L.Duvernet, J.F.Muzy
    Journal of Applied Probability Volume 49, Number 2 (2012), 482-502.

  • Modelling microstructure noise with Hawkes processes. (abstract and/or ftp)
    E. Bacry, S. Delattre, M. Hoffmann, J.F. Muzy
    "Signal Processing Methods in Finance Applications", ICASSP (2011).

  • The nature of price returns during periods of high market activity. (abstract and/or ftp)
    K. Al Dayri, E. Bacry, J.F.Muzy
    Proceedings of Econophys-Kolkata V (Kolkata, India, 2010).

  • Multifractal models for asset prices. (abstract and/or ftp)
    E.Bacry, J.F.Muzy
    Encyclopedia of quantitative finance, Wiley (2010).

  • Multifractal analysis in a mixed asymptotic framework . (abstract and/or ftp)
    E.Bacry, A.Gloter, M.Hoffmann, J.F.Muzy
    Annals of Applied Proba Volume 20, Number 5, 1729-1760 (2010).
  • Uncovering latent singularities from multifractal scaling laws in mixed asymptotic regime. Application to turbulence (abstract and/or ftp)
    J.F.Muzy, E.Bacry, R.Baile, P.Poggi
    Published in Euro. Physics Letter (2008)

  • Long time behavior for the partition function (abstract and/or ftp)
    E.Bacry, A.Gloter, M.Hoffmann, J.F.Muzy
    Proceedings of IWAP08 (International Workshop on Applied Probability, Compiègne, France, July 2008).

  • Continuous cascade models for asset returns (abstract and/or ftp)
    E.Bacry, A. Kozhemyak, J.F. Muzy
    Journal of Economic Dynamics and Control, Volume 32, Issue 1, January, 156-199 (2008).

  • Audio denoising by Time-Frequency Block Thresholding (abstract and/or ftp)
    G.Yu, S.Mallat, E.Bacry
    IEEE Trans. Signal Processing, 56 (5), 1830-1839 (2008)

  • Audio signal denoising with complex wavelets and adaptive block attenuation (abstract and/or ftp)
    G.Yu, E.Bacry, S.Mallat
    Accepted for oral presentation at ICASSP (2007, Hawai)

  • Are asset return tail estimations related to volatility long-range correlations ? (abstract and/or ftp)
    E.Bacry, A. Kozhemyak, J.F. Muzy
    Proc. Econophysics Colloquium (Canberra, Australie, November 2005)
    Published in Physica A (2006).

  • Extreme values and fat tails of multifractal fluctuations (abstract and/or ftp)
    J.F. Muzy, E. Bacry, A. Kozhemyak
    Phys. Rev. E 73, 066114 (2006).

  • Log-infinitely divisible multifractal processes (abstract and/or ftp)
    E. Bacry, J.F. Muzy
    Commun. Math. Phys. 236, 449-475 (2003)

  • Harmonic decomposition of audio signals with matching pursuit (abstract and/or ftp)
    R. Gribonval , E. Bacry
    IEEE, Trans. in Sig. Proc. 51, 1, pp. 101-111 (2003)

  • Multifractal stationary random measures and multifractal random walks with log-infinitely divisible scaling laws (2002) (abstract and/or ftp)
    J.F. Muzy, E. Bacry
    Phys. Rev. E 66 (2002).

  • Wavelets based estimators of scaling behavior (abstract and/or ftp)
    B. Audit, E. Bacry, J.F. Muzy, A. Arneodo,
    IEEE, Trans. in Information Theory 48, 11 pp 2938-2954 (2002).

  • Multifractal Random Walks. (abstract and/or ftp)
    E. Bacry, J.F. Muzy, J. Delour,
    Phys. Rev. E 64, 026103-026106 (2001).

  • Modelling fluctuations of financial time series: from cascade process to stochastic volatility model. (abstract and/or ftp)
    J.F. Muzy, J. Delour, E. Bacry.
    Euro. Phys. Journal B 17, pp 537-548 (2000)

  • What can we learn with wavelets about DNA sequences ?
    A. Arneodo, Y. d'Aubenton-Carafa, B. Audit, E. Bacry, J.F. Muzy and C. Thermes, Physica A, 249, p 439 (1998).

  • A thermodynamics of fractals signals based on wavelet analysis: application to fully developed turbulence data and DNA sequences.
    A. Arneodo, B. Audit, E. Bacry, S. Manneville, J.F. Muzy et S.G. Roux,
    Notes : Published in Physica A (1998).

  • Random cascades on wavelet dyadic trees.
    A. Arneodo, E. Bacry and J.F. Muzy, Journal of Mathematical Physics, vol. 39, (1998).

  • Analysis of random wavelet cascades using space-scale correlation functions.
    A. Arneodo, E. Bacry, S. Maneville and J.F. Muzy. Phys. Rev. Lett., p.708, Vol 80, no 4, (1998).

  • Nucleotide composition effects on the long range correlation in DNA sequences.
    A. Arneodo, Y. d'Aubenton-Carafa, B. Audit, E. Bacry, J.F. Muzy., and C. Thermes, Euro. Phys. J. vol.~B1, p129 (1998).

  • Oscillating singularities on Cantor sets. A grand canonical multifractal formalism. (abstract and/or ftp)
    A. Arneodo, E. Bacry, S. Jaffard and J.F. Muzy, J. Stat. Phys., Vol. 87 1/2, p. 179-209 (1997).

  • Singularity spectrum of multifractal functions involving oscillatying singularities. (abstract and/or ftp)
    A. Arneodo, E. Bacry, S. Jaffard and J.F. Muzy, Journal of Fourier analysis and applications (1997).

  • Wavelet based fractal analysis of DNA sequences.
    A. Arneodo, Y. d'Aubenton-Carafa, E. Bacry, P.V. Graves, J.F. Muzy, C. Thermes, Physica D, vol. 96, p 291 (1996).

  • A wavelet based multifractal formalism: application to the study of DNA sequences. E. Bacry, A. Arneodo, J.F. Muzy and P.V. Graves, J. Tech. Phys., vol.~37, p 281 (1996).

  • Oscillating singularities in locally self-similar functions.
    A. Arneodo, E. Bacry and J.F. Muzy, Phys. Rev. Lett. 74, 4823 (1995).

  • Characterizing long-range correlations in DNA sequences from wavelet analysis.
    A. Arneodo, E. Bacry, P.V. Graves and J.F. Muzy, Phys. Rev. Lett. 74, 3293 (1995).

  • Uncovering a multiplicative process in one-dimensional cuts of diffusion-limited aggregates.
    A. Arneodo, F. Argoul, E. Bacry, J.F. Muzy and M. Tabard, J. of Diff. Eq. and App. 1, 117 (1995).

  • The thermodynamics of fractals revisited with wavelets.
    A. Arneodo, E. Bacry and J.F. Muzy, Physica A 213, 232 (1994).

  • The multifractal formalism revisited with wavelets.
    J.F. Muzy, E. Bacry and A. Arneodo, Int. J. of Bifurcation and Chaos 4, 245 (1994).

  • Beyond classical multifractal analysis using wavelets : uncovering a multiplicative process hidden in the geometrical complexity of diffusion limited aggregates.
    A. Arneodo, F. Argoul, J.F. Muzy, M. Tabard and E. Bacry, Fractals 1, 629 (1993).

  • Solving the inverse fractal problem from wavelet analysis.
    A. Arneodo, E. Bacry and J.F. Muzy, Europhys. Lett. 25, 479 (1993).

  • Multifractal formalism for fractal signals: the structure fonction approach versus the wavelet transform modulus maxima method.
    J.F. Muzy, E. Bacry and A. Arneodo, Phys. Rev. E 47, 875 (1993).

  • Singularity spectrum of fractal signals from wavelet analysis: exact results
    E. Bacry, J.F. Muzy and A. Arneodo, J. Stat. Phys. 70, 635 (1993).

  • A wavelet based space-time adaptive numerical method for partial differential equation
    E. Bacry, S. Mallat and G. Papanicolaou, Mathematical Modelling and Numerical Analysis, 26, n. 7, p. 793 (1992).

  • Golden mean arithmetic in the fractal branching of diffusion-limited aggregates
    A. Arneodo, F. Argoul, E. Bacry, J.F. Muzy and M. Tabard, Phys. Rev. Lett. 68, 3456 (1992).

  • Wavelets and multifractal formalism for singular signals : application to turbulence data
    J.F. Muzy, E. Bacry and A. Arneodo, Phys. Rev. Lett. 67, 3515 (1991).


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