| Publication | Date of Publication | Type |
|---|
From rough to multifractal volatility: the log S-fBm model
Physica A | 2022-09-06 | Paper |
Multifractal point processes and the spatial distribution of wildfires in French Mediterranean regions
Physica A | 2022-01-13 | Paper |
Sparse and low-rank multivariate Hawkes processes
(available as arXiv preprint) | 2020-10-05 | Paper |
| Sparse and low-rank multivariate Hawkes processes | 2020-10-05 | Paper |
Disentangling and quantifying market participant volatility contributions
Quantitative Finance | 2019-10-11 | Paper |
Multifractal returns and hierarchical portfolio theory
Quantitative Finance | 2019-01-14 | Paper |
| Uncovering causality from multivariate Hawkes integrated cumulants | 2018-11-22 | Paper |
Uncovering causality from multivariate Hawkes integrated cumulants
(available as arXiv preprint) | 2018-11-22 | Paper |
Analysis of order book flows using a non-parametric estimation of the branching ratio matrix
Quantitative Finance | 2018-11-14 | Paper |
Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics
Quantitative Finance | 2018-11-13 | Paper |
Concentration inequalities for matrix martingales in continuous time
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2018-02-12 | Paper |
First- and Second-Order Statistics Characterization of Hawkes Processes and Non-Parametric Estimation
IEEE Transactions on Information Theory | 2017-04-28 | Paper |
Mean-field inference of Hawkes point processes
Journal of Physics A: Mathematical and Theoretical | 2016-08-10 | Paper |
Hawkes model for price and trades high-frequency dynamics
Quantitative Finance | 2015-04-08 | Paper |
Intermittent process analysis with scattering moments
The Annals of Statistics | 2015-03-27 | Paper |
Intermittent process analysis with scattering moments
The Annals of Statistics | 2015-03-27 | Paper |
| Concentration for matrix martingales in continuous time and microscopic activity of social networks | 2014-12-24 | Paper |
Some limit theorems for Hawkes processes and application to financial statistics
Stochastic Processes and their Applications | 2014-04-28 | Paper |
Log-normal continuous cascade model of asset returns: aggregation properties and estimation
Quantitative Finance | 2014-02-20 | Paper |
Modelling microstructure noise with mutually exciting point processes
Quantitative Finance | 2014-02-08 | Paper |
Extreme values and fat tails of multifractal fluctuations
Physical Review E. Third Series | 2012-08-12 | Paper |
Continuous-time skewed multifractal processes as a model for financial returns
Journal of Applied Probability | 2012-07-08 | Paper |
Multifractal analysis in a mixed asymptotic framework
The Annals of Applied Probability | 2010-10-04 | Paper |
Continuous cascade models for asset returns
Journal of Economic Dynamics and Control | 2010-01-19 | Paper |
TheKolmogorov Legacy in Physics
Lecture Notes in Physics | 2008-06-30 | Paper |
Wavelet-based estimators of scaling behavior
IEEE Transactions on Information Theory | 2005-05-11 | Paper |
| scientific article; zbMATH DE number 2110517 (Why is no real title available?) | 2004-10-26 | Paper |
Log-infinitely divisible multifractal processes
Communications in Mathematical Physics | 2003-12-16 | Paper |
| Thermodynamics of fractal signals based on wavelet analysis: Application to fully developed turbulence data and DNA sequences | 2002-03-20 | Paper |
| scientific article; zbMATH DE number 1552551 (Why is no real title available?) | 2001-12-13 | Paper |
Modelling financial time series using multifractal random walks
Physica A | 2001-10-23 | Paper |
| Oscillating singularities and fractal functions | 2001-05-29 | Paper |
Revealing a lognormal cascading process in turbulent velocity statistics with wavelet analysis
Philosophical Transactions of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences | 2000-11-26 | Paper |
Singularity spectrum of fractal signals from wavelet analysis: Exact results
Journal of Statistical Physics | 2000-09-04 | Paper |
Random cascades on wavelet dyadic trees
Journal of Mathematical Physics | 1999-11-21 | Paper |
Experimental evidence for anomalous scale dependent cascading process in turbulent velocity statistics
Applied and Computational Harmonic Analysis | 1999-10-06 | Paper |
Singularity spectrum of multifractal functions involving oscillating singularities
The Journal of Fourier Analysis and Applications | 1999-06-06 | Paper |
Oscillating singularities on Cantor sets: A grand-canonical multifractal formalism
Journal of Statistical Physics | 1999-04-26 | Paper |
BEYOND CLASSICAL MULTIFRACTAL ANALYSIS USING WAVELETS: UNCOVERING A MULTIPLICATIVE PROCESS HIDDEN IN THE GEOMETRICAL COMPLEXITY OF DIFFUSION LIMITED AGGREGATES
Fractals | 1998-11-26 | Paper |
| scientific article; zbMATH DE number 1072437 (Why is no real title available?) | 1998-02-17 | Paper |
| scientific article; zbMATH DE number 1072471 (Why is no real title available?) | 1997-10-08 | Paper |
Uncovering a multiplicative process in one-dimensional cuts of diffusion-limited aggregates
Journal of Difference Equations and Applications | 1997-05-25 | Paper |
| scientific article; zbMATH DE number 554503 (Why is no real title available?) | 1997-03-24 | Paper |
THE MULTIFRACTAL FORMALISM REVISITED WITH WAVELETS
International Journal of Bifurcation and Chaos in Applied Sciences and Engineering | 1994-12-14 | Paper |
| scientific article; zbMATH DE number 67277 (Why is no real title available?) | 1992-09-27 | Paper |
