Bibliography
For some of the papers, you can read the abstract or even ftp a
gzipped postscript version.
Papers
Hawkes Model for price and trades high-frequency dynamics. (abstract
and/or ftp)
E. Bacry , J.F. Muzy
PrePrint, 2013
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)
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 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
Multifractal models for asset prices. (abstract
and/or ftp)
E.Bacry, J.F.Muzy
Encyclopedia of quantitative finance, Wiley (2010).
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 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).
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)
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)
Phd Students
- 1996-1999 : Rémi Gribonval (co-directed with S. Mallat)
- 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."
- 2007-2010 : Laurent Duvernet (co-directed with M.Hoffmann)
"Analyse statistique des processus de marche aléatoire multifractale."
- 2008-2011 : Khalil Al Dayri (co-directed with M.Hoffmann)
"Market Microstructure and Modeling of the Trading Flow
Statistics of High Frequency Financial Data"
- 2010- : Adrian Iuga (co-directed with M.Hoffmann)
"Modeling and statistical analysis of price formation through the scales."
- 2012- : Thibault Jaisson (co-directed with M.Rosenbaum)
"Studies of some statistical problems issued from market microstructure"