462 citations · 1.5k across the 41 of their papers we have counts for
3 papers · 1 filter
Mean-field inference of Hawkes point processes
Emmanuel Bacry, Stéphane Gaïffas, Iacopo Mastromatteo +1
We propose a fast and efficient estimation method that is able to accurately recover the parameters of a d-dimensional Hawkes point-process from a set of observations. We exploit a…
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…
Sparse and low-rank multivariate Hawkes processes
Emmanuel Bacry, Martin Bompaire, Stéphane Gaïffas +1
We consider the problem of unveiling the implicit network structure of node interactions (such as user interactions in a social network), based only on high-frequency timestamps. O…