1 citations · 1 across the 5 of their papers we have counts for
5 papers
Forecasting threshold exceedance of atmospheric variables at a specific location
Roberta Baggio, Jean-François Muzy
Accurate short-term forecasting of extreme weather events is important for early warning and risk mitigation. We compare two approaches for predicting site-specific threshold excee…
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…
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…
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…
Leveraging data from nearby stations to improve short-term wind speed forecasts
Rachel Baïle, Jean-François Muzy
In this paper, we address the issue of short-term wind speed prediction at a given site. We show that, when one uses spatiotemporal information as provided by wind data of neighbor…