462 citations · 1.5k across the 41 of their papers we have counts for
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q-fin.ST2013★ 10 cited
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…
q-fin.TR2013★ 16 cited
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…