Zobrazeno 1 - 10
of 152
pro vyhledávání: '"Muzy J"'
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:
http://arxiv.org/abs/2006.02165
Autor:
Muzy, J. F., Baïle, R.
Publikováno v:
Phys. Rev. E 93, 052305 (2016)
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:
http://arxiv.org/abs/1601.03775
Autor:
Sen, G., Alombert Goget, G., Nagirnyi, V., Romet, I., Tran Caliste, T.N., Baruchel, J., Muzy, J., Giroud, L., Lebbou, K., Duffar, Th.
Publikováno v:
In Journal of Crystal Growth 1 April 2020 535
In this paper we propose a new model for volatility fluctuations in financial time series. This model relies on a non-stationary gaussian process that exhibits aging behavior. It turns out that its properties, over any finite time interval, are very
Externí odkaz:
http://arxiv.org/abs/1301.4160
Autor:
Bacry, E., Muzy, J. F
We introduce a multivariate Hawkes process that accounts for the dynamics of market prices through the impact of market order arrivals at microstructural level. Our model is a point process mainly characterized by 4 kernels associated with respective
Externí odkaz:
http://arxiv.org/abs/1301.1135
We define a numerical method that provides a non-parametric estimation of the kernel shape in symmetric multivariate Hawkes processes. This method relies on second order statistical properties of Hawkes processes that relate the covariance matrix of
Externí odkaz:
http://arxiv.org/abs/1112.1838
We introduce a new stochastic model for the variations of asset prices at the tick-by-tick level in dimension 1 (for a single asset) and 2 (for a pair of assets). The construction is based on marked point processes and relies on linear self and mutua
Externí odkaz:
http://arxiv.org/abs/1101.3422
We study various time series of surface layer wind velocity at different locations and provide evidences for the intermittent nature of the wind fluctuations in mesoscale range. By means of the magnitude covariance analysis, which is shown to be a mo
Externí odkaz:
http://arxiv.org/abs/0912.2419
Log-normal continuous random cascades form a class of multifractal processes that has already been successfully used in various fields. Several statistical issues related to this model are studied. We first make a quick but extensive review of their
Externí odkaz:
http://arxiv.org/abs/0804.0185
In this paper we revisit an idea originally proposed by Mandelbrot about the possibility to observe ``negative dimensions'' in random multifractals. For that purpose, we define a new way to study scaling where the observation scale $\tau$ and the tot
Externí odkaz:
http://arxiv.org/abs/0711.4862