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In this paper we propose an overview of the recent academic literature devoted to the applications of Hawkes processes in finance. Hawkes processes constitute a particular class of multivariate pointâ€¦ (More)

- Massil Achab, Emmanuel Bacry, StÃ©phane GaÃ¯ffas, Iacopo Mastromatteo, Jean-FranÃ§ois Muzy
- Journal of Machine Learning Research
- 2017

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 influences of each node ofâ€¦ (More)

- Iacopo Mastromatteo, Bence G. TÃ³th, Jean-Philippe Bouchaud
- Physical review letters
- 2014

We generalize the reaction-diffusion model A+Bâ†’0 in order to study the impact of an excess of A (or B) at the reaction front. We provide an exact solution of the model, which shows that the linearâ€¦ (More)

We propose a fast and efficient estimation method that is able to accurately recover the parameters of a d-dimensional Hawkes point-process from a set of observations. We exploit a mean-fieldâ€¦ (More)

- Iacopo Mastromatteo, Emmanuel Bacry, Jean-FranÃ§ois Muzy
- Physical review. E, Statistical, nonlinear, andâ€¦
- 2015

In this work we investigate the generic properties of a stochastic linear model in the regime of high dimensionality. We consider in particular the vector autoregressive (VAR) model and theâ€¦ (More)

We analyze the possibility that the cosmic ray knee appears at an energy threshold where the protonâ€“dark matter cross section becomes large due to new TeV physics. It has been shown that suchâ€¦ (More)

Models where supersymmetry (SUSY) is manifest only in a sector of the low-energy spectrum have been recently proposed as an alternative to the MSSM. In these models the electroweak scale is explainedâ€¦ (More)

- Petros Draggiotis, Manuel Masip, Iacopo Mastromatteo
- 2008

We study the properties of black holes of mass 10â€“10 GeV in models with the fundamental scale of gravity at the TeV. These black holes could be produced in the collision of a ultrahigh energy cosmicâ€¦ (More)

In TeV gravity models the interaction cross section between a cosmic proton of energy E and a dark matter particle Ï‡ grows fast at center of mass energies âˆš 2mÏ‡E above the TeV, and could reach 1â€¦ (More)

We discuss possible implications of a large interaction cross section between cosmic rays and dark matter particles due to new physics at the TeV scale. In particular, in models with extra dimensionsâ€¦ (More)