10 citations · 18 across the 3 of their papers we have counts for
4 papers
Self-similar continuous cascades supported by random Cantor sets. Application to rainfall data
J. F. Muzy, R. Baïle
We introduce a variant of continuous random cascade models that extends former constructions introduced by Barral-Mandelbrot and Bacry-Muzy in the sense that they can be supported…
Random cascade model in the limit of infinite integral scale as the exponential of a non-stationary noise. Application to volatility fluctuations in stock markets
J. F. Muzy, R. Baile, E. Bacry
In this paper we propose a new model for volatility fluctuations in financial time series. This model relies on a non-stationary gaussian process that exhibits aging behavior. It t…
Short term forecasting of surface layer wind speed using a continuous cascade model
Rachel Baile, Jean-Francois Muzy, Philippe Poggi
This paper describes a statistical method for short-term forecasting of surface layer wind velocity amplitude relying on the notion of continuous cascades. Inspired by recent empir…
Intermittency of surface layer wind velocity series in the mesoscale range
J. F. Muzy, R. Baile, P. Poggi
We study various time series of surface layer wind velocity at different locations and provide evidences for the intermittent nature of the wind fluctuations in mesoscale range. By…