462 citations · 1.5k across the 42 of their papers we have counts for
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math.PR2014★ 2 cited
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…
math.PR2012★ 57 cited
Scaling limits for Hawkes processes and application to financial statistics
Emmanuel Bacry, Sylvain Delattre, Marc Hoffmann +1
We prove a law of large numbers and a functional central limit theorem for multivariate Hawkes processes observed over a time interval in the limit .…
math.PR2008★ 2 cited
Multifractal analysis in a mixed asymptotic framework
Emmanuel Bacry, Arnaud Gloter, Marc Hoffmann +1
Multifractal analysis of multiplicative random cascades is revisited within the framework of {\em mixed asymptotics}. In this new framework, statistics are estimated over a sample…