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hal-01313834v1  Journal articles
Emmanuel BacryJean-François Muzy. First- and Second-Order Statistics Characterization of Hawkes Processes and Non-Parametric Estimation
IEEE Transactions on Information Theory, Institute of Electrical and Electronics Engineers, 2016, 62 (4), pp.2184-2202. ⟨10.1109/TIT.2016.2533397⟩
hal-01313840v1  Journal articles
Emmanuel BacryJean-François Muzy. Hawkes model for price and trades high-frequency dynamics
Quantitative Finance, Taylor & Francis (Routledge), 2014, 14 (7), pp.1147-1166. ⟨10.1080/14697688.2014.897000⟩
hal-01313838v1  Journal articles
Emmanuel BacryIacopo MastromatteoJean-François Muzy. Hawkes Processes in Finance
Market Microstructure and Liquidity, 2015, 01 (01), pp.1550005. ⟨10.1142/S2382626615500057⟩
hal-01313839v1  Journal articles
Iacopo MastromatteoEmmanuel BacryJean-François Muzy. Linear processes in high dimensions: Phase space and critical properties
Physical Review E : Statistical, Nonlinear, and Soft Matter Physics, American Physical Society, 2015, 91, pp.042142. ⟨10.1103/PhysRevE.91.042142⟩