462 citations · 1.5k across the 41 of their papers we have counts for
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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…
Linear processes in high-dimension: phase space and critical properties
Iacopo Mastromatteo, Emmanuel Bacry, Jean-François Muzy
In this work we investigate the generic properties of a stochastic linear model in the regime of high-dimensionality. We consider in particular the Vector AutoRegressive model (VAR…
Concentration for matrix martingales in continuous time and microscopic activity of social networks
Emmanuel Bacry, Stéphane Gaïffas, Jean-François Muzy
This paper gives new concentration inequalities for the spectral norm of a wide class of matrix martingales in continuous time. These results extend previously established Freedman…
Second order statistics characterization of Hawkes processes and non-parametric estimation
Emmanuel Bacry, Jean-Francois Muzy
We show that the jumps correlation matrix of a multivariate Hawkes process is related to the Hawkes kernel matrix through a system of Wiener-Hopf integral equations. A Wiener-Hopf…