46 citations · 46 across the 3 of their papers we have counts for
3 papers
Analysis of order book flows using a nonparametric estimation of the branching ratio matrix
Massil Achab, Emmanuel Bacry, Jean-François Muzy +1
We introduce a new non parametric method that allows for a direct, fast and efficient estimation of the matrix of kernel norms of a multivariate Hawkes process, also called branchi…
Uncovering Causality from Multivariate Hawkes Integrated Cumulants
Massil Achab, Emmanuel Bacry, Stéphane Gaïffas +2
We design a new nonparametric method that allows one to estimate the matrix of integrated kernels of a multivariate Hawkes process. This matrix not only encodes the mutual influenc…
SGD with Variance Reduction beyond Empirical Risk Minimization
Massil Achab, Agathe Guilloux, Stéphane Gaïffas +1
We introduce a doubly stochastic proximal gradient algorithm for optimizing a finite average of smooth convex functions, whose gradients depend on numerically expensive expectation…