462 citations · 1.5k across the 41 of their papers we have counts for
7 papers · 1 filter
Linear processes in high-dimension: phase space and critical properties
Iacopo Mastromatteo, Emmanuel Bacry, Jean-François Muzy
In this work we investigate the generic properties of a stochastic linear model in the regime of high-dimensionality. We consider in particular the Vector AutoRegressive model (VAR…
Extreme values and fat tails of multifractal fluctuations
Jean-Francois Muzy, Emmanuel Bacry, Alexey Kozhemyak
In this paper we discuss the problem of the estimation of extreme event occurrence probability for data drawn from some multifractal process. We also study the heavy (power-law) ta…
Multifractal stationary random measures and multifractal random walks with log-infinitely divisible scaling laws
J. -F. Muzy, E. Bacry
We define a large class of continuous time multifractal random measures and processes with arbitrary log-infinitely divisible exact or asymptotic scaling law. These processes gener…
Volatility fingerprints of large shocks: Endogeneous versus exogeneous
D. Sornette, Y. Malevergne, J. F. Muzy
Finance is about how the continuous stream of news gets incorporated into prices. But not all news have the same impact. Can one distinguish the effects of the Sept. 11, 2001 attac…
Should we abandon cascade models to describe the spatial complexity of fully developed turbulence velocity profiles ?
J. Delour, J. F. Muzy, A. Arneodo
We perform one- and two-points magnitude cumulant analysis of one-dimensional longitudinal velocity profiles stemming from three different experimental set-ups and covering a broad…
A multivariate multifractal model for return fluctuations
E. Bacry, J. Delour, J. F. Muzy
In this paper we briefly review the recently inrtroduced Multifractal Random Walk (MRW) that is able to reproduce most of recent empirical findings concerning financial time-series…
Multifractal returns and Hierarchical Portfolio Theory
J. -F. Muzy, D. Sornette, J. Delour +1
We extend and test empirically the multifractal model of asset returns based on a multiplicative cascade of volatilities from large to small time scales. The multifractal descripti…