462 citations · 1.5k across the 41 of their papers we have counts for
Showing 2018Show all
2 papers · 1 filter
physics.data-an2018★ 13 cited
Continuous cascades in the wavelet space as models for synthetic turbulence
Jean-François Muzy
We introduce a wide family of stochastic processes that are obtained as sums of self-similar localized "waveforms" with multiplicative intensity in the spirit of the Richardson cas…
q-fin.TR2018★ 1 cited
Disentangling and quantifying market participant volatility contributions
Marcello Rambaldi, Emmanuel Bacry, Jean-François Muzy
Thanks to the access to labeled orders on the Cac40 index future provided by Euronext, we are able to quantify market participants contributions to the volatility in the diffusive…