462 citations · 1.5k across the 42 of their papers we have counts for
12 papers · 1 filter
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…
The self-exciting nature of the bid-ask spread dynamics
Ruihua Ruan, Emmanuel Bacry, Jean-François Muzy
The bid-ask spread, which is defined by the difference between the best selling price and the best buying price in a Limit Order Book at a given time, is a crucial factor in the an…
Queue-reactive Hawkes models for the order flow
Peng Wu, Marcello Rambaldi, Jean-François Muzy +1
In this work we introduce two variants of multivariate Hawkes models with an explicit dependency on various queue sizes aimed at modeling the stochastic time evolution of a limit o…
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…
Analysis of order book flows using a nonparametric estimation of the branching ratio matrix
Massil Achab, Emmanuel Bacry, Jean-François Muzy +1
We introduce a new non parametric method that allows for a direct, fast and efficient estimation of the matrix of kernel norms of a multivariate Hawkes process, also called branchi…
The role of volume in order book dynamics: a multivariate Hawkes process analysis
Marcello Rambaldi, Emmanuel Bacry, Fabrizio Lillo
We show that multivariate Hawkes processes coupled with the nonparametric estimation procedure first proposed in Bacry and Muzy (2015) can be successfully used to study complex int…