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Emmanuel Bacry

20 works· latest 2016· 3 institutionscluster: provisionalORCID 0000-0001-5997-1942

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Citations5,113

Works here20

Most cited in this library

Wavelets and multifractal formalism for singular signals: Application to turbulence data1991 · 786 citations
THE MULTIFRACTAL FORMALISM REVISITED WITH WAVELETS1994 · 574 citations
Multifractal formalism for fractal signals: The structure-function approach versus the wavelet-transform modulus-maxima method1993 · 564 citations
Hawkes Processes in Finance2015 · 459 citations
Multifractal random walk2001 · 456 citations

Works

20 shown

The role of volume in order book dynamics: a multivariate Hawkes process analysis

Quantitative Finance·2016·1 author·Open access

73citations

Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics

Quantitative Finance·2016·3 authors

106citations

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

IEEE Transactions on Information Theory·2016·2 authors

124citations

Market Impacts and the Life Cycle of Investors Orders

Market Microstructure and Liquidity·2015·4 authors·Open access

89citations

Hawkes Processes in Finance

Market Microstructure and Liquidity·2015·3 authors

459citations

Hawkes model for price and trades high-frequency dynamics

Quantitative Finance·2014·2 authors

189citations

Some limit theorems for Hawkes processes and application to financial statistics

Stochastic Processes and their Applications·2013·4 authors·Open access

Non-parametric kernel estimation for symmetric Hawkes processes. Application to high frequency financial data

The European Physical Journal B·2012·3 authors·Open access

178citations

Scaling limits for Hawkes processes and application to financial statistics

arXiv (Cornell University)·2012·4 authors·preprint·Open access

52citations

Modelling microstructure noise with mutually exciting point processes

Quantitative Finance·2012·4 authors·Open access

304citations

Continuous cascade models for asset returns

Journal of Economic Dynamics and Control·2007·3 authors

100citations

Multifractal stationary random measures and multifractal random walks with log infinitely divisible scaling laws

Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics·2002·2 authors·Open access

140citations

Wavelet-based estimators of scaling behavior

IEEE Transactions on Information Theory·2002·4 authors

105citations

Modelling financial time series using multifractal random walks

Physica A Statistical Mechanics and its Applications·2001·3 authors

107citations

Multifractal random walk

Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics·2001·3 authors·Open access

456citations

Modelling fluctuations of financial time series: from cascade process to stochastic volatility model

The European Physical Journal B·2000·3 authors·Open access

301citations

THE MULTIFRACTAL FORMALISM REVISITED WITH WAVELETS

International Journal of Bifurcation and Chaos·1994·3 authors

574citations

Multifractal formalism for fractal signals: The structure-function approach versus the wavelet-transform modulus-maxima method

Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics·1993·3 authors·Open access

564citations