3 citations · 4 across the 5 of their papers we have counts for
5 papers
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…
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…
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…
Multivariate Quadratic Hawkes Processes -- Part I: Theoretical Analysis
Cécilia Aubrun, Michael Benzaquen, Jean-Philippe Bouchaud
Quadratic Hawkes (QHawkes) processes have proved effective at reproducing the statistics of price changes, capturing many of the stylised facts of financial markets. Motivated by t…
On Hawkes Processes with Infinite Mean Intensity
Cecilia Aubrun, Michael Benzaquen, Jean-Philippe Bouchaud
The stability condition for Hawkes processes and their non-linear extensions usually relies on the condition that the mean intensity is a finite constant. It follows that the total…