462 citations · 1.5k across the 41 of their papers we have counts for
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q-fin.TR2011★ 181 cited
Non-parametric kernel estimation for symmetric Hawkes processes. Application to high frequency financial data
E. Bacry, K. Dayri, J. F. Muzy
We define a numerical method that provides a non-parametric estimation of the kernel shape in symmetric multivariate Hawkes processes. This method relies on second order statistica…
q-fin.TR2011★ 14 cited
Modeling microstructure noise with mutually exciting point processes
E. Bacry, S. Delattre, M. Hoffmann +1
We introduce a new stochastic model for the variations of asset prices at the tick-by-tick level in dimension 1 (for a single asset) and 2 (for a pair of assets). The construction…