Bibliography - Emmanuel Bacry

Bibliography

Radio Shows, Books, Thesis, Papers, Proceedings.

For some of the papers, you can read the abstract or even ftp a gzipped postscript version.

Radio Show

Fractal geometry and Finance (Hear it)
invited with B.Mandelbrot
Two "Science Frictions" shows (30mn each) on French radio France Culture (June 2005)

Book

Fractales, Ondelettes et Turbulence : de l'ADN aux croissances cristallines.
A. Arneodo, F. Argoul, E. Bacry, J. Elezgaray and J.F. Muzy.
Diderot Editions, Paris, 1995.

Thesis

Utilisation de la transformation en ondelettes pour l'analyse de signaux fractals
et pour la résolution d'équations aux dérivées partielles.
E.Bacry
Phd Thesis in Mathematics, University Paris VII, France (1992)
Habilitation à diriger des recherches, University of Paris VII (1996)

2007 : You can find Alexey Kozhemyak Phd Thesis here
"Modélisation de séries financières à l'aide de processus invariants d'échelle.
Application à la prédiction du risque."

Papers

Multifractal analysis in a mixed asymptotic framework . (abstract and/or ftp)
E.Bacry, A.Gloter, M.Hoffmann, J.F.Muzy
Submitted to Annals of Applied Proba (2008)

Log-Normal continuous cascades: aggregation properties and estimation. Application to financial time-series. (abstract and/or ftp)
E.Bacry, A.Kozhemyak, J.F.Muzy
Submitted to Quantitative Finance (2008)

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
To be 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
Accepted in 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).

Proceedings

Modeling financial time series using Multifractal (abstract and/or ftp)
E. Bacry, J.F. Muzy, J. Delour,
Physica A 299, 84-92 (2001)
Nato Advanced Research Workshop on ``Application of Physics in Economic Modelling'', Praha, 2001.
Time-invariant Detection and Classification of Noisy Signals with Decision Trees and Wavelet Transform Modulus Maxima.
R. Gribonval, E. Bacry and S. Mallat, Proc. Wavelet and Applications Workshop (WAW'98), october 1998.
Classification et détection de signaux à l'aide de la transformée en ondelettes.
R. Gribonval, E. Bacry and S. Mallat, Proceedings of the Rencontres de la Sociét é Francophone de Classification (SFC'98), september 1998.
Scale invariance and beyond: what can we learn from wavelet analysis ?
A. Arneodo, B. Audit, E. Bacry, S. Manneville, J.F. Muzy and S.G. Roux, in Proceedings of the Ecole des Houches on Scale Invariance and Beyond, eds B. Dubrulle, F. Graner and D. Sornette (Springer EDP Sciences, 1997), p. 37.
Analysis of sound signals with high resolution matching pursuit.
R. Gribonval, E. Bacry, S. Mallat, Ph. Depalle and X. Rodet, in the Proceedings of TFTS, IEEE (Paris, 1996), p. 125.
Sound Signals Decomposition Using a High Resolution Matching Pursuit.
R. Gribonval, Ph. Depalle, X. Rodet, E. Bacry and S. Mallat, Proc. International Computer Music Conference (ICMC'96), p 293-296, 1996.
Wavelet based multifractal formalism : application to the study of DNA sequences.
E. Bacry, A. Arneodo, Y. d'Aubenton-Carafa, J.F. Muzy and C. Thermes. J. of Tech. Phys. 1996, Vol 37 3-4, p 281-284.
A wavelet based multifractal formalism.
E. Bacry, A. Arneodo, J.F. Muzy, P.V. Graves, Proc. of Nonlinear dynamics, chaotic and complex systems, Zakopane (Pologne), 1995.
Wavelet analysis of DNA sequences.
E. Bacry, A. Arneodo, J.F. Muzy, P,V. Graves, Proc. of Wavelet Applications in Signal and Image Processing III, A.F. Laine and M.A. Unser, eds. (SPIE, Washington,1995), p. 489.
Wavelet analysis of single-point turbulence data.
A. Arneodo, J.F. Muzy and E. Bacry, in Turbulence, A Tentative Dictionary, P. Tabeling and O. Cardoso, eds. (Plenum, New-York, 1995), p. 139.
Du chaos à la turbulence : la transformation en ondelettes, un outil d'avenir pour l'analyse des signaux fractals.
A. Arneodo, F. Argoul, E. Bacry, J. Elezgaray and J.F. Muzy, Rapport 12, Secrétariat Général de la Défense Nationale (1994).
Wavelet analysis of fractal signals. Application to fully developed turbulence data.
A. Arneodo, J.F. Muzy and E. Bacry, in Eddy Structure Identification in Free Turbulent Shear Flows, J.P. Bonnet and M.N. Glauser, eds. (Kluwer Academic Press, Dordrecht, 1993), p. 153.
Uncovering the quasifractality of diffusion-limited aggregates with wavelets. Towards a statistical thermodynamics of Laplacian fractals.
A. Arneodo, F. Argoul, E. Bacry, J. Elezgaray, J.F. Muzy and M. Tabard, in Progress in Wavelet Analysis and Applications, Y. Meyer and S. Roques, eds. (Frontières, Gif sur Yvette, 1993), p. 21.
A wavelet based space-time adaptive numerical method for partial differential equations.
E. Bacry, S. Mallat and G. Papanicolaou, in Progress in Wavelet Analysis and Applications, Y. Meyer and S. Roques, eds. (Frontières, Gif sur Yvette, 1993), p. 677.
Multifractal formalism for singular signals based on wavelet analysis.
J.F. Muzy, E. Bacry and A. Arneodo, in Progress in Wavelet Analysis and Applications, Y. Meyer and S. Roques, eds. (Frontières, Gif sur Yvette, 1993), p. 323.
Wavelet analysis of fractal signals: direct determination of the singularity spectrum of fully developed turbulence data.
A. Arneodo, E. Bacry and J.F. Muzy, in the proceedings of the USA-French Workshop Wavelets and Turbulence (Springer, Berlin, 1993),
Notes : To appear
Fibonacci sequences in diffusion-limited aggregation.
A. Arneodo, F. Argoul, E. Bacry, J.F. Muzy and M. Tabard, in Growth Patterns in Physical Sciences and Biology, J.M. Garcia Ruiz, E. Louis, P. Meakin and L.M. Sander, eds. (Plenum, New-York, 1993), p. 191.
Analyse en ondelettes de signaux fractals. Application à l'étude de la turbulence pleinement développée.
A. Arneodo, E. Bacry and J.F. Muzy, Comptes Rendus du 29ème Colloque d'Aérodynamique Appliquée, C.E.L. Biscarosse (Septembre 1992)
Wavelet transform of fractals : I. From the transition to chaos to fully developed turbulence. II. Optical wavelet transform of fractal growth phenomena.
A. Arneodo, F. Argoul, E. Bacry, J. Elezgaray, E. Freysz, G. Grasseau, J.F. Muzy and B. Pouligny, in Wavelets and Applications, Y. Meyer, ed. (Springer, Berlin, 1992), p. 286.
Wavelet analysis of fully developed turbulence data and measurement of scaling exponents.
E. Bacry, A. Arneodo, U. Frisch, Y. Gagne and E. Hopfinger, in Turbulence and Coherent Structures, M. Lesieur and O. Métais, eds. (Kluwer Academic Publishers, 1990) p. 203.