462 citations · 1.5k across the 42 of their papers we have counts for
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stat.ML2016★ 46 cited
Uncovering Causality from Multivariate Hawkes Integrated Cumulants
Massil Achab, Emmanuel Bacry, Stéphane Gaïffas +2
We design a new nonparametric method that allows one to estimate the matrix of integrated kernels of a multivariate Hawkes process. This matrix not only encodes the mutual influenc…
q-fin.TR2016★ 61 cited
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…