Jean-François Muzy

12 papers A* 1Misc 1Journal 10
YearRankTypeTitle / Venue / Authors
2025 J jnl
KANFormer for Predicting Fill Probabilities via Survival Analysis in Limit Order Books.
CoRR
Jinfeng Zhong, Emmanuel Bacry, Agathe Guilloux, Jean-François Muzy
2024 J jnl
No Tick-Size Too Small: A General Method for Modelling Small Tick Limit Order Books.
CoRR
Konark Jain, Jean-François Muzy, Jonathan Kochems, Emmanuel Bacry
2023 J jnl
Agent market orders representation through a contrastive learning approach.
CoRR
Ruihua Ruan, Emmanuel Bacry, Jean-François Muzy
2020 J jnl
Sparse and low-rank multivariate Hawkes processes.
J. Mach. Learn. Res.
Emmanuel Bacry, Martin Bompaire, Stéphane Gaïffas, Jean-François Muzy
2017 A* conf
Uncovering Causality from Multivariate Hawkes Integrated Cumulants.
ICML
Massil Achab, Emmanuel Bacry, Stéphane Gaïffas, Iacopo Mastromatteo, Jean-François Muzy
2017 J jnl
Uncovering Causality from Multivariate Hawkes Integrated Cumulants.
J. Mach. Learn. Res.
Massil Achab, Emmanuel Bacry, Stéphane Gaïffas, Iacopo Mastromatteo, Jean-François Muzy
2016 J jnl
First- and Second-Order Statistics Characterization of Hawkes Processes and Non-Parametric Estimation.
IEEE Trans. Inf. Theory
Emmanuel Bacry, Jean-François Muzy
2016 J jnl
Uncovering Causality from Multivariate Hawkes Integrated Cumulants.
CoRR
Massil Achab, Emmanuel Bacry, Stéphane Gaïffas, Iacopo Mastromatteo, Jean-François Muzy
2015 J jnl
Mean-field inference of Hawkes point processes.
CoRR
Emmanuel Bacry, Stéphane Gaïffas, Iacopo Mastromatteo, Jean-François Muzy
2012 J jnl
Continuous-Time Skewed Multifractal Processes as a Model for Financial Returns.
J. Appl. Probab.
Emmanuel Bacry, Laurent Duvernet, Jean-François Muzy
2011 Misc conf
Modeling microstructure noise using Hawkes processes.
ICASSP
Emmanuel Bacry, Sylvain Delattre, Marc Hoffmann, Jean-François Muzy
2002 J jnl
Wavelet-based estimators of scaling behavior.
IEEE Trans. Inf. Theory
Benjamin Audit, Emmanuel Bacry, Jean-François Muzy, Alain Arneodo