Bibliography
For some of the papers, you can read the abstract and/or download an electronic version.
Papers
From Rough to Multifractal volatility: the log S-fBM model. (Arxiv link)
P.Wu, E.Bacry, J.Muzy
Preprint (2021)
Queue-reactive Hawkes models for the order flow. (Arxiv link)
P.Wu, M.Rambaldi, J.Muzy, E.Bacry
To be published in Market Microstructure and Liquidity (2021)
Sparse and low-rank multivariate Hawkes processes. . (abstract
and/or ftp)
E.Bacry, M.Bompaire, S.Gaïffas, J.-F.Muzy
Journal of Machine Learning Research, vol. 21 (2020)
Screening anxiolytics, hypnotics, antidepressants and neuroleptics for bone fracture risk among elderly: a nation-wide dynamic multivariate self-control study using the SNDS claims database. (Arxiv link)
M.Morel, B.Bouyer, A.Guilloux, M.Laanani, F.Leroy, D.P.Nguyen, Y.Sebiat, E.Bacry, S.Gaiffas
Submitted to Drugs Safety (2020)
ZiMM: a deep learning model for long term adverse events with non-clinical claims data. (Arxiv link)
E.Bacry, S.Gaïffas, A.Kabeshova, Y.Yu
Machine Learning for Health (ML4H) at NeurIPS (2019)Extended Abstract
Journal of Biomedical Informatics or Journal of Biomedical Informatics-X (2020)
SCALPEL3: a scalable open-source library for healthcare claims databases. (Arxiv link)
E.Bacry, S.Gaïffas, F.Leroy, M.Morel, D.P.Nguyen, Y.Sebiat, D.Sun
International Journal of Medical Informatics, Vol. 141 (2020)
Self-exclusion in online poker gamblers: effect on time and money as compared to matched controls.
A.Luquiens, A.Dugravot, H.Panjo, A.Benyamina, S.Gaiffas, E.Bacry
International Journal of Environmental Research and Public Health (2019)
ConvSCCS: convolutional self-controlled case-seris model for lagged adverser event detection. (Arxiv link)
M.Morel, E.Bacry, S.Gaiffas, A.Guilloux, F.Leroy
Biostatistics, kxz003, https://doi.org/10.1093/biostatistics/kxz003 (2019)
Dual Optimization for convex constrained objectives without the gradient-Lipschitz assumptions. (Arxiv link)
M.Bombaire, S.Gaiffas, E.Bacry
Submitted to Journal of Machine Learning Research (2018)
Disentangling and quantifying market participant volatility contributions. (Arxiv link)
M.Rambaldi, E.Bacry, J.F.Muzy
Quantitative Finance, 19:10, 1613-1625 (2018)
Machine learning et big data en santé : le partenariat entre la Caisse Nationale d'Assurance Maladie et l'Ecole Polytechnique (Arxiv link)
E.Bacry, S.Gaiffas
in "Livre IA et santé : présent et futur", Académie Nationale de Médecine (2018)
Analysis of order book flows using a nonparametric estimation of the branching ratio matrix. (Arxiv link)
M.Achab, E.Bacry, J.-F.Muzy, M.Rambaldi
Quantitative Finance, Volume 18, Issue 2 (2018)
tick: a Python library for statistical learning, with a particular emphasis on time-dependent modeling. (Arxiv link)
M.Achab, E.Bacry, M.Bompaire, S.Gaiffas, S.Poulsen
Journal of Machine Learning Research (2017)
Concentration for matrix martingales in continuous time and microscopic activity of social networks. (Arxiv link)
E.Bacry, S.Gaïffas, J.-F.Muzy
Probability Theory and Related Fields (2017)
Uncovering Causality from Multivariate Hawkes Integrated Cumulants.
M.Achab, E.Bacry, S.Gaïffas, I.Mastromatteo, J.-F.Muzy
ICML and Journal of Machine Learning (2017)
The role of volume in order book dynamics: a multivariate Hawkes process analysis (Arxiv link)
M. Rambaldi, E.Bacry, F.Lillo,
Quantitative Finance Vol. 17, Issue 7 (2017)
SGD with Variance Reduction beyond Empirical Risk Minimization (Arxiv link)
M.Achab, A.Guilloux, S.Gaiffas, E.Bacry
International Conference of Monte Carlo Methods and Applications (2017)
Mean-field inference of Hawkes point processes
(Arxiv link)
E.Bacry, S.Gaïffas, I.Mastromatteo, J.-F.Muzy,
Journ. of Phys. A, Volume 49, Number 17, 2016
Estimation of slowly decreasing Hawkes kernels: Application to high frequency order book modelling. (abstract
and/or ftp)
E.Bacry, T.Jaisson, J.-F.Muzy
Quantitative Finance Vol. 16 , Iss. 8 (2016)
Second order statistics characterization of Hawkes processes and
non-parametric estimation. (abstract
and/or ftp)
E. Bacry, J.F. Muzy
Trans. in Inf. Theory, Vol.2 Iss. 4 (2016)
Hawkes processes in finance.
(abstract
and/or ftp)
E.Bacry, I.Mastromatteo, J.-F.Muzy
Market Microstructure and Liquidity Vol. 01, No. 01, 1550005 (2015).
Linear processes in high-dimension: phase space and critical properties. (abstract
and/or ftp)
I.Mastromatteo, E.Bacry, J.-F.Muzy
Physical Review E (Vol.91, No.4), 2015
Market impacts and the life cycle of investors orders. (abstract
and/or ftp)
E. Bacry, A.Iuga, M.Lasnier, C-A.Lehalle
Market Microstructure and Liquidity Vol. 1, No. 2 (2015)
Intermittent process analysis with scattering moments.
(abstract and/or ftp)
J. Bruna , S. Mallat, E. Bacry, J.F. Muzy
Annals of Statistics, Vol. 43, No. 1, 323-351 (2015).
Hawkes Model for price and trades high-frequency dynamics.
(abstract and/or ftp)
E. Bacry , J.F. Muzy
Quantitative Finance, Vol. 14, Issue 7 (2014)
Random cascade models in the limit of infinite integral scale as
the exponential of a non stationary 1/f noise. Application to volatility
fluctuations in stick markets . (abstract
and/or ftp)
J.F. Muzy, R. Baïle, E. Bacry
Phys. Rev. E, Vol. 87, No. 4 (2013)
Scaling limits for Hawkes processes and application to financial
statistics . (abstract
E. Bacry, S. Delattre, M. Hoffmann, J.F. Muzy
Stochastic Processes and Applications, Volume 123, Issue 7, pp 2475-2499
(2013)
Modelling microstructure noise with mutually exciting point
processes. (abstract and/or
ftp)
E. Bacry, S. Delattre, M. Hoffmann, J.F. Muzy
Quantitative finance, Volume 13, Issue 1, January 2013, pages 65-77
Log-Normal continuous cascades: aggregation properties and
estimation. Application to financial time-series. (abstract
and/or ftp)
E.Bacry, A.Kozhemyak, J.F.Muzy
Quantitative finance, Volume 13, Issue 5, pp 795-818 (2013)
Non-parametric kernel estimation for symmetric Hawkes processes.
Application to high frequency financial data. (abstract
and/or ftp)
K. Al Dayri, E. Bacry, J.F.Muzy
Eur. Phys. J. B, 85: 157 (2012).
Continuous-time skewed multifractal processes as a model for
financial returns. (abstract and/or ftp)
E.Bacry, L.Duvernet, J.F.Muzy
Journal of Applied Probability Volume 49, Number 2 (2012), 482-502.
Modelling microstructure noise with Hawkes processes.
(abstract and/or ftp)
E. Bacry, S. Delattre, M. Hoffmann, J.F. Muzy
"Signal Processing Methods in Finance Applications", ICASSP (2011).
The nature of price returns during periods of high market
activity. (abstract and/or
ftp)
K. Al Dayri, E. Bacry, J.F.Muzy
Proceedings of Econophys-Kolkata V (Kolkata, India, 2010).
Multifractal models for asset prices. (abstract
and/or ftp)
E.Bacry, J.F.Muzy
Encyclopedia of quantitative finance, Wiley (2010).
Multifractal analysis in a mixed asymptotic framework . (abstract
and/or ftp)
E.Bacry, A.Gloter, M.Hoffmann, J.F.Muzy
Annals of Applied Proba Volume 20, Number 5, 1729-1760 (2010).
Uncovering latent singularities from multifractal scaling laws in
mixed asymptotic regime. Application to turbulence (abstract
and/or ftp)
J.F.Muzy, E.Bacry, R.Baile, P.Poggi
Published in Euro. Physics Letter (2008)
Long time behavior for the partition function (abstract
and/or ftp)
E.Bacry, A.Gloter, M.Hoffmann, J.F.Muzy
Proceedings of IWAP08 (International Workshop on Applied Probability,
Compiègne, France, July 2008).
Continuous cascade models for asset returns (abstract
and/or ftp)
E.Bacry, A. Kozhemyak, J.F. Muzy
Journal of Economic Dynamics and Control, Volume 32, Issue 1, January,
156-199 (2008).
Audio denoising by Time-Frequency Block Thresholding (abstract
and/or ftp)
G.Yu, S.Mallat, E.Bacry
IEEE Trans. Signal Processing, 56 (5), 1830-1839 (2008)
Audio signal denoising with complex wavelets and adaptive block
attenuation (abstract and/or ftp)
G.Yu, E.Bacry, S.Mallat
Accepted for oral presentation at ICASSP (2007, Hawai)
Are asset return tail estimations related to volatility long-range
correlations ? (abstract and/or
ftp)
E.Bacry, A. Kozhemyak, J.F. Muzy
Proc. Econophysics Colloquium (Canberra, Australie, November 2005)
Published in Physica A (2006).
Extreme values and fat tails of multifractal fluctuations (abstract
and/or ftp)
J.F. Muzy, E. Bacry, A. Kozhemyak
Phys. Rev. E 73, 066114 (2006).
Log-infinitely divisible multifractal processes (abstract
and/or ftp)
E. Bacry, J.F. Muzy
Commun. Math. Phys. 236, 449-475 (2003)
Harmonic decomposition of audio signals with matching pursuit
(abstract and/or ftp)
R. Gribonval , E. Bacry
IEEE, Trans. in Sig. Proc. 51, 1, pp. 101-111 (2003)
Multifractal stationary random measures and multifractal random walks
with log-infinitely divisible scaling laws (2002) (abstract
and/or ftp)
J.F. Muzy, E. Bacry
Phys. Rev. E 66 (2002).
Wavelets based estimators of scaling behavior (abstract
and/or ftp)
B. Audit, E. Bacry, J.F. Muzy, A. Arneodo,
IEEE, Trans. in Information Theory 48, 11 pp 2938-2954
(2002).
Multifractal Random Walks. (abstract
and/or ftp)
E. Bacry, J.F. Muzy, J. Delour,
Phys. Rev. E 64, 026103-026106 (2001).
Modelling fluctuations of financial time series: from cascade
process to stochastic volatility model. (abstract
and/or ftp)
J.F. Muzy, J. Delour, E. Bacry.
Euro. Phys. Journal B 17, pp 537-548 (2000)
What can we learn with wavelets about DNA sequences ?
A. Arneodo, Y. d'Aubenton-Carafa, B. Audit, E. Bacry, J.F. Muzy and C.
Thermes, Physica A, 249, p 439 (1998).
A thermodynamics of fractals signals based on wavelet analysis:
application to fully developed turbulence data and DNA sequences.
A. Arneodo, B. Audit, E. Bacry, S. Manneville, J.F. Muzy et S.G. Roux,
Notes : Published in Physica A (1998).
Random cascades on wavelet dyadic trees.
A. Arneodo, E. Bacry and J.F. Muzy, Journal of Mathematical Physics, vol.
39, (1998).
Analysis of random wavelet cascades using space-scale correlation
functions.
A. Arneodo, E. Bacry, S. Maneville and J.F. Muzy. Phys. Rev. Lett., p.708,
Vol 80, no 4, (1998).
Nucleotide composition effects on the long range correlation in DNA
sequences.
A. Arneodo, Y. d'Aubenton-Carafa, B. Audit, E. Bacry, J.F. Muzy., and C.
Thermes, Euro. Phys. J. vol.~B1, p129 (1998).
Oscillating singularities on Cantor sets. A grand canonical
multifractal formalism. (abstract
and/or ftp)
A. Arneodo, E. Bacry, S. Jaffard and J.F. Muzy, J. Stat. Phys., Vol. 87
1/2, p. 179-209 (1997).
Singularity spectrum of multifractal functions involving
oscillatying singularities. (abstract
and/or ftp)
A. Arneodo, E. Bacry, S. Jaffard and J.F. Muzy, Journal of Fourier
analysis and applications (1997).
Wavelet based fractal analysis of DNA sequences.
A. Arneodo, Y. d'Aubenton-Carafa, E. Bacry, P.V. Graves, J.F. Muzy, C.
Thermes, Physica D, vol. 96, p 291 (1996).
A wavelet based multifractal formalism: application to the study
of DNA sequences. E. Bacry, A. Arneodo, J.F. Muzy and P.V. Graves,
J. Tech. Phys., vol.~37, p 281 (1996).
Oscillating singularities in locally self-similar functions.
A. Arneodo, E. Bacry and J.F. Muzy, Phys. Rev. Lett. 74, 4823 (1995).
Characterizing long-range correlations in DNA sequences from
wavelet analysis.
A. Arneodo, E. Bacry, P.V. Graves and J.F. Muzy, Phys. Rev. Lett. 74, 3293
(1995).
Uncovering a multiplicative process in one-dimensional cuts of
diffusion-limited aggregates.
A. Arneodo, F. Argoul, E. Bacry, J.F. Muzy and M. Tabard, J. of Diff. Eq.
and App. 1, 117 (1995).
The thermodynamics of fractals revisited with wavelets.
A. Arneodo, E. Bacry and J.F. Muzy, Physica A 213, 232 (1994).
The multifractal formalism revisited with wavelets.
J.F. Muzy, E. Bacry and A. Arneodo, Int. J. of Bifurcation and Chaos 4,
245 (1994).
Beyond classical multifractal analysis using wavelets : uncovering
a multiplicative process hidden in the geometrical complexity of
diffusion limited aggregates.
A. Arneodo, F. Argoul, J.F. Muzy, M. Tabard and E. Bacry, Fractals 1, 629
(1993).
Solving the inverse fractal problem from wavelet analysis.
A. Arneodo, E. Bacry and J.F. Muzy, Europhys. Lett. 25, 479 (1993).
Multifractal formalism for fractal signals: the structure fonction
approach versus the wavelet transform modulus maxima method.
J.F. Muzy, E. Bacry and A. Arneodo, Phys. Rev. E 47, 875 (1993).
Singularity spectrum of fractal signals from wavelet analysis:
exact results
E. Bacry, J.F. Muzy and A. Arneodo, J. Stat. Phys. 70, 635 (1993).
A wavelet based space-time adaptive numerical method for partial
differential equation
E. Bacry, S. Mallat and G. Papanicolaou, Mathematical Modelling and
Numerical Analysis, 26, n. 7, p. 793 (1992).
Golden mean arithmetic in the fractal branching of
diffusion-limited aggregates
A. Arneodo, F. Argoul, E. Bacry, J.F. Muzy and M. Tabard, Phys. Rev. Lett.
68, 3456 (1992).
Wavelets and multifractal formalism for singular signals :
application to turbulence data
J.F. Muzy, E. Bacry and A. Arneodo, Phys. Rev. Lett. 67, 3515 (1991).
Proceedings
- Modeling financial time series using Multifractal (abstract
and/or ftp)
E. Bacry, J.F. Muzy, J. Delour,
Physica A 299, 84-92 (2001)
Nato Advanced Research Workshop on ``Application of Physics in
Economic Modelling'', Praha, 2001.
- Time-invariant Detection and Classification of Noisy Signals
with Decision Trees and Wavelet Transform Modulus Maxima.
R. Gribonval, E. Bacry and S. Mallat, Proc. Wavelet and Applications
Workshop (WAW'98), october 1998.
- Classification et détection de signaux à l'aide de la
transformée en ondelettes.
R. Gribonval, E. Bacry and S. Mallat, Proceedings of the Rencontres de
la Sociét é Francophone de Classification (SFC'98), september 1998.
- Scale invariance and beyond: what can we learn from wavelet
analysis ?
A. Arneodo, B. Audit, E. Bacry, S. Manneville, J.F. Muzy and S.G.
Roux, in Proceedings of the Ecole des Houches on Scale Invariance
and Beyond, eds B. Dubrulle, F. Graner and D. Sornette
(Springer EDP Sciences, 1997), p. 37.
- Analysis of sound signals with high resolution matching
pursuit.
R. Gribonval, E. Bacry, S. Mallat, Ph. Depalle and X. Rodet, in the
Proceedings of TFTS, IEEE (Paris, 1996), p. 125.
- Sound Signals Decomposition Using a High Resolution Matching
Pursuit.
R. Gribonval, Ph. Depalle, X. Rodet, E. Bacry and S. Mallat, Proc.
International Computer Music Conference (ICMC'96), p 293-296, 1996.
- Wavelet based multifractal formalism : application to the study
of DNA sequences.
E. Bacry, A. Arneodo, Y. d'Aubenton-Carafa, J.F. Muzy and C. Thermes.
J. of Tech. Phys. 1996, Vol 37 3-4, p 281-284.
- A wavelet based multifractal formalism.
E. Bacry, A. Arneodo, J.F. Muzy, P.V. Graves, Proc. of Nonlinear
dynamics, chaotic and complex systems, Zakopane (Pologne),
1995.
- Wavelet analysis of DNA sequences.
E. Bacry, A. Arneodo, J.F. Muzy, P,V. Graves, Proc. of Wavelet
Applications in Signal and Image Processing III, A.F. Laine and
M.A. Unser, eds. (SPIE, Washington,1995), p. 489.
- Wavelet analysis of single-point turbulence data.
A. Arneodo, J.F. Muzy and E. Bacry, in Turbulence, A Tentative
Dictionary, P. Tabeling and O. Cardoso, eds. (Plenum, New-York,
1995), p. 139.
- Du chaos à la turbulence : la transformation en ondelettes, un
outil d'avenir pour l'analyse des signaux fractals.
A. Arneodo, F. Argoul, E. Bacry, J. Elezgaray and J.F. Muzy, Rapport
12, Secrétariat Général de la Défense Nationale (1994).
- Wavelet analysis of fractal signals. Application to fully
developed turbulence data.
A. Arneodo, J.F. Muzy and E. Bacry, in Eddy Structure
Identification in Free Turbulent Shear Flows, J.P. Bonnet and
M.N. Glauser, eds. (Kluwer Academic Press, Dordrecht, 1993), p. 153.
- Uncovering the quasifractality of diffusion-limited aggregates
with wavelets. Towards a statistical thermodynamics of Laplacian
fractals.
A. Arneodo, F. Argoul, E. Bacry, J. Elezgaray, J.F. Muzy and M.
Tabard, in Progress in Wavelet Analysis and Applications, Y.
Meyer and S. Roques, eds. (Frontières, Gif sur Yvette, 1993), p. 21.
- A wavelet based space-time adaptive numerical method for
partial differential equations.
E. Bacry, S. Mallat and G. Papanicolaou, in Progress in Wavelet
Analysis and Applications, Y. Meyer and S. Roques, eds.
(Frontières, Gif sur Yvette, 1993), p. 677.
- Multifractal formalism for singular signals based on wavelet
analysis.
J.F. Muzy, E. Bacry and A. Arneodo, in Progress in Wavelet
Analysis and Applications, Y. Meyer and S. Roques, eds.
(Frontières, Gif sur Yvette, 1993), p. 323.
- Wavelet analysis of fractal signals: direct determination of
the singularity spectrum of fully developed turbulence data.
A. Arneodo, E. Bacry and J.F. Muzy, in the proceedings of the
USA-French Workshop Wavelets and Turbulence (Springer,
Berlin, 1993),
Notes : To appear
- Fibonacci sequences in diffusion-limited aggregation.
A. Arneodo, F. Argoul, E. Bacry, J.F. Muzy and M. Tabard, in Growth
Patterns in Physical Sciences and Biology, J.M. Garcia Ruiz, E.
Louis, P. Meakin and L.M. Sander, eds. (Plenum, New-York, 1993), p.
191.
- Analyse en ondelettes de signaux fractals. Application à
l'étude de la turbulence pleinement développée.
A. Arneodo, E. Bacry and J.F. Muzy, Comptes Rendus du 29ème Colloque
d'Aérodynamique Appliquée, C.E.L. Biscarosse (Septembre 1992)
- Wavelet transform of fractals : I. From the transition to chaos
to fully developed turbulence. II. Optical wavelet transform of
fractal growth phenomena.
A. Arneodo, F. Argoul, E. Bacry, J. Elezgaray, E. Freysz, G. Grasseau,
J.F. Muzy and B. Pouligny, in Wavelets and Applications, Y.
Meyer, ed. (Springer, Berlin, 1992), p. 286.
- Wavelet analysis of fully developed turbulence data and
measurement of scaling exponents.
E. Bacry, A. Arneodo, U. Frisch, Y. Gagne and E. Hopfinger, in Turbulence
and Coherent Structures, M. Lesieur and O. Métais, eds. (Kluwer
Academic Publishers, 1990) p. 203.
Radio Show
- Fractal geometry and Finance (Hear
it)
invited with B.Mandelbrot
Two "Science Frictions" shows (30mn each) on French radio France
Culture (June 2005)
Book and Others
- Fractales, Ondelettes et Turbulence : de l'ADN aux croissances
cristallines.
A. Arneodo, F. Argoul, E. Bacry, J. Elezgaray and J.F. Muzy.
Diderot Editions, Paris, 1995.
- Statistical finance at the École Polytechnique, Paris: the
informal FIESTA research group
E.Bacry, M.Hoffmann, M. Rosenbaum
Quantitative Finance , Vol. 12, 05, pp 685 - 689 (2012).
Phd Thesis and Habilitation
- Utilisation de la transformation en ondelettes pour
l'analyse de signaux fractals
et pour la résolution d'équations aux dérivées partielles.
E.Bacry
Phd Thesis in Mathematics, University Paris VII, France (1992)
- Habilitation à diriger des recherches, University of Paris VII
(1996)
Students/PostDoc/Engineers
- 2019- : Ruihua Ruan (PhD) in Modelling agent behaviour on financial markets
- 2019-2020 : Angel Francisco Orta, engineer for the CNAMTS partnership
- 2018- : Yiyang Yu (PhD, co-directed
with S.Gaïffas) "Deep learning for public health"
- 2018-2020 : Anastasiia Nitavskyi (Postdoc, co-directed with S.Gaïffas)
- 2018-2019 : Qing Chen (Postdoc, co-directed with J.D.Fekete and S.Gaïffas)
- 2018-2020 : Dian Sun, engineer for the CNAMTS partnership
- 2017- : Peng Wu (PhD, co-directed with J.F.Muzy) "Analysis and Modelisation of High-frequency financial time-series"
- 2017-2019 : Philip Deegan, engineer for the Tick open source library
- 2016-2020 : Youcef Sebiat, engineer for the CNAMTS partnership
- 2016-2018 : Daniel de Paula Silva, engineer for the CNAMTS partnership
- 2016-2017 : Sathiya Kumar, engineer for the CNAMTS partnership
- 2016-2018 : Marcello Rambaldi (PostDoc)
- 2016-2017 : Soeren Poulsen, engineer for the Tick open source library
- 2015-2016 : Michel Blancard, Data scientist for the ETALAB partnership
- 2015-2017 : Prosper Burq, engineer for the CNAMTS partnership
- 2015-2017 : Christos Giatsidis engineer for the CNAMTS partnership
- 2015- :
Maryan Morel, data scientist then PhD (co-directed with S.Gaiffas) for the CNAMTS partnership
- 2015- : Alain Virouleau (PhD, co-directed
with S.Gaiffas)
"Statistics of point processes"
- 2015-2019 : Martin Bompaire (PhD, co-directed
with S.Gaiffas)
"Hawkes processes in large dimension"
- 2014-2015 : Iacoppo Mastromatteo (PostDoc)
- 2014-2017 : Massil Achab (PhD, co-directed
with S.Gaiffas)
"Machine learning and Big Data for Public Health"
- 2012-2015 : Thibault Jaisson (PhD, co-directed
with M.Rosenbaum)
"Studies of some statistical problems issued from market
microstructure"
- 2010-2014 : Adrian
Iuga (PhD, co-directed with M.Hoffmann)
"Modeling and statistical analysis of price formation
through the scales."
- 2008-2011 : Khalil Al Dayri (PhD, co-directed
with M.Hoffmann)
"Market Microstructure and Modeling of the Trading
Flow
Statistics of High Frequency Financial Data"
- 2007-2010 : Laurent
Duvernet (PhD, co-directed with M.Hoffmann)
"Analyse statistique des processus de marche
aléatoire multifractale."
- 2004-2007 : You can find Alexey
Kozhemyak Phd Thesis here
"Modélisation de séries financières à l'aide de
processus invariants d'échelle.
Application à la prédiction du risque."
- 1996-1999 :
Rémi Gribonval (PhD, co-directed with S. Mallat)
Softwares
The Tick open-source library
The SCALPEL3 open source libraries : SCALPEL-Flattening
SCALPEL-Extraction ,
SCALPEL-Analysis
Contracts/Partnerships
- 2018 : Contract with Euronext
- 2016- : PREPS (Programme de recherche sur la performance du système des soins) with several hospitals of Ile-de-France. Forecasting arrival flows in 80 emergency services in Paris neighborhood.
- 2015- : Partnership (renewed in 2018 for 3 years) between the CMAP and the CNAMTS (Caisse Nationale d'Assurance Maladie) ``Big data and Public Health''.
- 2015-2016 : Partnership between the CMAP and ETALAB (administrateur Général des Données Gouvernementales).