462 citations · 1.5k across the 41 of their papers we have counts for
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cond-mat.stat-mech2002★ 142 cited
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…
cond-mat.stat-mech2002★ 7 cited
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…