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- E. Bacry, J. F. Muzy
- 2002

We define a large class of multifractal random measures and processes with arbitrary log-infinitely divisible exact or asymptotic scaling law. These processes generalize within a unified framework both the recently defined log-normal Multifractal Random Walk processes (MRW) [33, 3] and the log-Poisson " product of cynlindrical pulses " [7]. Their… (More)

- E. Bacry, S. Delattre, M. Hoffmann, J. F. Muzy
- 2011

We prove a law of large numbers and a functional central limit theorem for multivariate Hawkes processes observed over a time interval [0, T ] in the limit T → ∞. We further exhibit the asymptotic behaviour of the covariation of the increments of the components of a multivariate Hawkes process, when the observations are imposed by a discrete scheme with… (More)

- Jean-François Muzy, Emmanuel Bacry
- Physical review. E, Statistical, nonlinear, and…
- 2002

We define a large class of continuous time multifractal random measures and processes with arbitrary log infinitely divisible exact or asymptotic scaling law. These processes generalize within a unified framework both the recently defined log-normal multifractal random walk [J.F. Muzy, J. Delour, and E. Bacry, Eur. J. Phys. B 17, 537 (2000), E. Bacry, J.… (More)

- E. Bacry, S. Delattre, M. Hoffmann, J. F. Muzy
- 2011

We introduce a new stochastic model for the variations of asset prices at the tick-by-tick level in dimension 1 (for a single asset) and 2 (for a pair of assets). The construction is based on marked point processes and relies on mutually exciting stochastic intensities as introduced by Hawkes. We associate a counting process with the positive and negative… (More)

- Emmanuel Bacry, Khalil Dayri, Jean-Francois Muzy
- 2011

We define a numerical method that provides a non-parametric estimation of the kernel shape in symmetric multivariate Hawkes processes. This method relies on second order statistical properties of Hawkes processes that relate the covariance matrix of the process to the kernel matrix. The square root of the correlation function is computed using a minimal… (More)

- J F Muzy, E Bacry, A Kozhemyak
- Physical review. E, Statistical, nonlinear, and…
- 2006

In this paper we discuss the problem of the estimation of extreme event occurrence probability for data drawn from some multifractal process. We also study the heavy (power-law) tail behavior of probability density function associated with such data. We show that because of strong correlations, the standard extreme value approach is not valid and classical… (More)

In this paper, we make a short overview of continuous cascade models recently introduced to model asset return fluctuations. We show that these models account in a very parcimonious manner for most of " stylized facts " of financial time series. We review in more details the simplest of such models namely the log-normal Multifractal Random Walk. It can… (More)

Recently, Ghashghaie et al. have shown that some statistical aspects of fully developed turbulence and exchange rate fluctuations exhibit striking similarities [1]. The authors then suggested that the two problems might be deeply connected, and speculated on the existence of an 'information cascade' which would play the role in finance of the well known… (More)

We introduce a multivariate Hawkes process that accounts for the dynamics of market prices through the impact of market order arrivals at microstructural level. Our model is a point process mainly characterized by 4 kernels associated with respectively the trade arrival self-excitation, the price changes mean reversion the impact of trade arrivals on price… (More)

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 point processes that has become very popular in empirical high frequency finance this last decade. After a reminder of the main definitions and properties that… (More)