462 citations · 1.5k across the 41 of their papers we have counts for
43 papers
The Log S-fBM model: Statistical analysis
Othmane Zarhali, Emmanuel Bacry, Jean-François Muzy
The Log S-fBM model, introduced by Wu et al., is a stochastic volatility model whose log volatility is a stationary fractional Brownian motion (S-fBM): a stationary Gaussian proces…
KANFormer for Predicting Fill Probabilities via Survival Analysis in Limit Order Books
Jinfeng Zhong, Emmanuel Bacry, Agathe Guilloux +1
This paper introduces KANFormer, a novel deep-learning-based model for predicting the time-to-fill of limit orders by leveraging both market- and agent-level information. KANFormer…
A Nested Factor Model for Equity Markets: Reconciling Multifractal Stock Returns and Rough Index Volatilities
Othmane Zarhali, Cecilia Aubrun, Emmanuel Bacry +2
The Nested factor model was introduced by Chicheportiche et al. to represent non-linear correlations between stocks. Stock returns are explained by a standard factor model, but the…
Improving prediction of heavy rainfall in the Mediterranean with Neural Networks using both observation and Numerical Weather Prediction data
Killian Pujol, Roberta Baggio, Dominique Lambert +3
Forecasting Heavy Precipitation Events (HPE) in the Mediterranean is crucial but challenging due to the complexity of the processes involved. In this context, Artificial Intelligen…
Local wind speed forecasting at short time horizons based on Numerical Weather Prediction and observations from surrounding stations
Roberta Baggio, Killian Pujol, Florian Pantillon +3
This study presents a hybrid neural network model for short-term (1-6 hours ahead) surface wind speed forecasting, combining Numerical Weather Prediction (NWP) with observational d…
No Tick-Size Too Small: A General Method for Modelling Small Tick Limit Order Books
Konark Jain, Jean-François Muzy, Jonathan Kochems +1
Tick-sizes not only influence the granularity of the price formation process but also affect market agents' behavior. We investigate the disparity in the microstructural properties…