462 citations · 1.5k across the 41 of their papers we have counts for
6 papers · 1 filter
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…
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…
From Rough to Multifractal volatility: the log S-fBM model
Peng Wu, Jean-François Muzy, Emmanuel Bacry
We introduce a family of random measures , namely log S-fBM, such that, for , where is a Gaussian process that…
Estimation of slowly decreasing Hawkes kernels: Application to high frequency order book modelling
Emmanuel Bacry, Thibault Jaisson, Jean-Francois Muzy
We present a modified version of the non parametric Hawkes kernel estimation procedure studied in arXiv:1401.0903 that is adapted to slowly decreasing kernels. We show on numerical…
Random cascade model in the limit of infinite integral scale as the exponential of a non-stationary noise. Application to volatility fluctuations in stock markets
J. F. Muzy, R. Baile, E. Bacry
In this paper we propose a new model for volatility fluctuations in financial time series. This model relies on a non-stationary gaussian process that exhibits aging behavior. It t…
Log-Normal continuous cascades: aggregation properties and estimation. Application to financial time-series
E. Bacry, A. Kozhemyak, J. -F. Muzy
Log-normal continuous random cascades form a class of multifractal processes that has already been successfully used in various fields. Several statistical issues related to this m…