2 papers
q-fin.TR2025
Multivariate Quadratic Hawkes Processes -- Part II: Non-Parametric Empirical Calibration
Cecilia Aubrun, Michael Benzaquen, Jean-Philippe Bouchaud
This is the second part of our work on Multivariate Quadratic Hawkes (MQHawkes) Processes, devoted to the calibration of the model defined and studied analytically in Aubrun, C., B…
q-fin.GN2024
Riding Wavelets: A Method to Discover New Classes of Price Jumps
Cecilia Aubrun, Rudy Morel, Michael Benzaquen +1
Cascades of events and extreme occurrences have garnered significant attention across diverse domains such as financial markets, seismology, and social physics. Such events can ste…