Výsledky vyhledávání - "Jean-François Muzy"

Leveraging data from nearby stations to improve short-term wind speed forecasts

In this paper, we address the issue of short-term wind speed prediction at a given site. We show that, when one uses spatiotemporal information as provided by wind data of neighboring stations, one significantly improves the prediction quality. Our m

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::60b84b1918c3ac2e37ae75207911dd67
http://arxiv.org/abs/2207.14679

Zobrazit plný text záznamu

From Rough to Multifractal volatility: the log S-fBM model

Autor: Peng Wu, Jean-François Muzy, Emmanuel Bacry

We introduce a family of random measures $M_{H,T} (d t)$, namely log S-fBM, such that, for $H>0$, $M_{H,T}(d t) = e^{\omega_{H,T}(t)} d t$ where $\omega_{H,T}(t)$ is a Gaussian process that can be considered as a stationary version of an $H$-fraction

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::250ffcf0ece16f8c91e773986908b08a
http://arxiv.org/abs/2201.09516

Zobrazit plný text záznamu

'SENSOR AUGMENTED WEATHER PREDICTION AT HIGH RESOLUTION' [ANR-21-CE04-0014-03]' PROJECT DMP

Publikováno v: HAL

A Data Management Plan created using DMP OPIDoR, based on the "ANR-DMP template (english)" template provided by Agence nationale de la recherche (ANR).
Un plan de gestion des données créé à l'aide de DMP OPIDoR, basé sur le modèle "ANR-DMP

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::a254080347d7b73b4f3adbd83e0307b3
https://hal.science/hal-03737267

Zobrazit plný text záznamu

Multifractal point processes and the spatial distribution of wildfires in French Mediterranean regions

Autor: Xavier Silvani, Jean-François Muzy, Rachel Baïle

Publikováno v: Physica A: Statistical Mechanics and its Applications
Physica A: Statistical Mechanics and its Applications, Elsevier, 2020, pp.125697. ⟨10.1016/j.physa.2020.125697⟩
Physica A: Statistical Mechanics and its Applications, Elsevier, 2021, 568, pp.125697. ⟨10.1016/j.physa.2020.125697⟩

We introduce a simple and wide class of multifractal spatial point patterns as Cox processes which intensity is multifractal, i.e., the class of Poisson processes with a stochastic intensity corresponding to a random multifractal measure. We then pro

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::afda3cc191dbe7cc5a7afca9bcdeff77
https://hal.archives-ouvertes.fr/hal-03105310

Zobrazit plný text záznamu

Concentration inequalities for matrix martingales in continuous time

Autor: Emmanuel Bacry, Jean-François Muzy, Stéphane Gaïffas

Publikováno v: Probability Theory and Related Fields. 170:525-553

This paper gives new concentration inequalities for the spectral norm of a wide class of matrix martingales in continuous time. These results extend previously established Freedman and Bernstein inequalities for series of random matrices to the class

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::d12039f44ad723e6049358e33f8bc1d3
https://doi.org/10.1007/s00440-017-0786-9

Zobrazit plný text záznamu

Disentangling and quantifying market participant volatility contributions

Autor: Emmanuel Bacry, Marcello Rambaldi, Jean-François Muzy

Publikováno v: Quantitative Finance
Quantitative Finance, Taylor & Francis (Routledge), 2019, 19 (10), pp.1613-1625. ⟨10.1080/14697688.2019.1591631⟩

Thanks to the access to labeled orders on the Cac40 index future provided by Euronext, we are able to quantify market participants contributions to the volatility in the diffusive limit. To achieve this result we leverage the branching properties of

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e97cd8abfa015d9c86280d74eac58ab2
https://hal.archives-ouvertes.fr/hal-02392863

Zobrazit plný text záznamu

Continuous cascades in the wavelet space as models for synthetic turbulence

Autor: Jean-François Muzy

Publikováno v: Physical Review E : Statistical, Nonlinear, and Soft Matter Physics
Physical Review E : Statistical, Nonlinear, and Soft Matter Physics, American Physical Society, 2019, 99 (4), pp.042113. ⟨10.1103/PhysRevE.99.042113⟩
Phys.Rev.E
Phys.Rev.E, 2019, 99 (4), pp.042113. ⟨10.1103/PhysRevE.99.042113⟩

We introduce a wide family of stochastic processes that are obtained as sums of self-similar localized "waveforms" with multiplicative intensity in the spirit of the Richardson cascade picture of turbulence. We establish the convergence and the minim

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ddfc1366b480720aaaddd703c84adbb4
https://hal.archives-ouvertes.fr/hal-01965323

Zobrazit plný text záznamu

First- and Second-Order Statistics Characterization of Hawkes Processes and Non-Parametric Estimation

Autor: Emmanuel Bacry, Jean-François Muzy

Publikováno v: IEEE Transactions on Information Theory
IEEE Transactions on Information Theory, Institute of Electrical and Electronics Engineers, 2016, 62 (4), pp.2184-2202. ⟨10.1109/TIT.2016.2533397⟩

We show that the jumps correlation matrix of a multivariate Hawkes process is related to the Hawkes kernel matrix through a system of Wiener–Hopf integral equations. A Wiener–Hopf argument allows one to prove that this system (in which the kernel

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::24e5dd904904b4f1b03f73b1c4159e08
https://doi.org/10.1109/tit.2016.2533397

Zobrazit plný text záznamu

Analysis of order book flows using a non-parametric estimation of the branching ratio matrix

Autor: Emmanuel Bacry, Massil Achab, Jean-François Muzy, Marcello Rambaldi

Publikováno v: Quantitative Finance
Quantitative Finance, Taylor & Francis (Routledge), 2017, 18 (2), pp.199-212. ⟨10.1080/14697688.2017.1403132⟩

We introduce a new non-parametric method that allows for a direct, fast and efficient estimation of the matrix of kernel norms of a multivariate Hawkes process, also called branching ratio matrix. ...

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5fbddb5e65cbcf43de8e8c2f72a5f08b
https://hal.archives-ouvertes.fr/hal-02399477

Zobrazit plný text záznamu

Autor: Jean-François Muzy, Rachel Baile

We introduce a variant of continuous random cascade models that extends former constructions introduced by Barral-Mandelbrot and Bacry-Muzy in the sense that they can be supported by sets of arbitrary fractal dimension. The so introduced sets are exa

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c58cd58f674babc4b3a772515a8f616d
https://doi.org/10.1103/physreve.93.052305

Zobrazit plný text záznamu

Vyhledávací nástroje:

Upřesnit hledání