462 citations · 1.5k across the 42 of their papers we have counts for
44 papers
The Log S-fBM model: Statistical analysis
Othmane Zarhali, Emmanuel Bacry, Jean-François Muzy
The Log S-fBM model, introduced by Wu et al., is a stochastic volatility model whose log volatility is a stationary fractional Brownian motion (S-fBM): a stationary Gaussian proces…
From rough to multifractal multidimensional volatility: A multidimensional Log S-fBM model
Othmane Zarhali, Emmanuel Bacry, Jean-François Muzy
We introduce the multivariate Log S-fBM model (mLog S-fBM), extending the univariate framework proposed by Wu \textit{et al.} to the multidimensional setting. We define the multidi…
KANFormer for Predicting Fill Probabilities via Survival Analysis in Limit Order Books
Jinfeng Zhong, Emmanuel Bacry, Agathe Guilloux +1
This paper introduces KANFormer, a novel deep-learning-based model for predicting the time-to-fill of limit orders by leveraging both market- and agent-level information. KANFormer…
A Nested Factor Model for Equity Markets: Reconciling Multifractal Stock Returns and Rough Index Volatilities
Othmane Zarhali, Cecilia Aubrun, Emmanuel Bacry +2
The Nested factor model was introduced by Chicheportiche et al. to represent non-linear correlations between stocks. Stock returns are explained by a standard factor model, but the…
No Tick-Size Too Small: A General Method for Modelling Small Tick Limit Order Books
Konark Jain, Jean-François Muzy, Jonathan Kochems +1
Tick-sizes not only influence the granularity of the price formation process but also affect market agents' behavior. We investigate the disparity in the microstructural properties…
Liquidity takers behavior representation through a contrastive learning approach
Ruihua Ruan, Emmanuel Bacry, Jean-François Muzy
Thanks to the access to the labeled orders on the CAC40 data from Euronext, we are able to analyze agents' behaviors in the market based on their placed orders. In this study, we c…