462 citations · 1.5k across the 41 of their papers we have counts for
9 papers · 1 filter
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…
Queue-reactive Hawkes models for the order flow
Peng Wu, Marcello Rambaldi, Jean-François Muzy +1
In this work we introduce two variants of multivariate Hawkes models with an explicit dependency on various queue sizes aimed at modeling the stochastic time evolution of a limit o…
Disentangling and quantifying market participant volatility contributions
Marcello Rambaldi, Emmanuel Bacry, Jean-François Muzy
Thanks to the access to labeled orders on the Cac40 index future provided by Euronext, we are able to quantify market participants contributions to the volatility in the diffusive…
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…
Hawkes processes in finance
Emmanuel Bacry, Iacopo Mastromatteo, Jean-François Muzy
In this paper we propose an overview of the recent academic literature devoted to the applications of Hawkes processes in finance. Hawkes processes constitute a particular class of…
Hawkes model for price and trades high-frequency dynamics
E. Bacry, J. F Muzy
We introduce a multivariate Hawkes process that accounts for the dynamics of market prices through the impact of market order arrivals at microstructural level. Our model is a poin…