Emmanuel Bacry

Economics and Econometrics · 2008–2016

A researcher in the Science corpus: 10 papers; trusts 49 researchers and is trusted by 32 researchers here, as inferred from the citation graph.

Subfields

• Economics and Econometrics — 58 citations into it; #9,865 of 23,481 by trust here, #12,781 by citations
• Finance — 56 citations into it; #2,824 of 10,518 by trust here, #3,009 by citations
• Applied Mathematics — 32 citations into it; #721 of 7,620 by trust here, #662 by citations
• Statistics and Probability — 12 citations into it
• Molecular Biology — 10 citations into it; #2,737 of 17,773 by trust here, #10,347 by citations
• Mathematical Physics — 9 citations into it; #3,378 of 8,562 by trust here, #1,961 by citations
• Geometry and Topology — 8 citations into it
• Artificial Intelligence — 7 citations into it; #16,961 of 35,345 by trust here, #28,481 by citations

Whom Emmanuel Bacry trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Clive G. Bowsher
2. Jean-François Muzy
3. Sylvain Delattre
4. Yacine Aït-Sahalia
5. Jean-Philippe Bouchaud
6. Thibault Jaisson
7. Jim Gatheral
8. Marc Hoffmann
9. Paul Embrechts
10. Benoit B. Mandelbrot

Who trusts Emmanuel Bacry overall

1. Thibault Jaisson
2. Mathieu Rosenbaum
3. Jean-François Muzy
4. Alan G. Hawkes
5. Joan Bruna
6. Omar El Euch
7. Iacopo Mastromatteo
8. Rémi Rhodes
9. Simon Clinet
10. Rama Cont

Papers from Emmanuel Bacry's perspective

Ordered by how strongly the researchers Emmanuel Bacry trusts endorse each paper. Same corpus, a different order for every researcher.

1. The Long Memory of the Efficient Market
2. Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise
3. Affine Point Processes and Portfolio Credit Risk (SIAM Journal on Financial Mathematics)
4. Modelling microstructure noise with mutually exciting point processes
5. Theory Of Financial Risk And Derivative Pricing
6. Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models
7. A Theory for the Term Structure of Interest Rates
8. Et al
9. More Statistical Properties of Order Books and Price Impact
10. Stochastic Declustering of Space-Time Earthquake Occurrences

Their papers

• Continuous cascade models for asset returns (2008) — 106 citations
• Market Impacts and the Life Cycle of Investors Orders (2014) — 106 citations
• Some limit theorems for Hawkes processes and application to financial statistics (2013) — 223 citations
• Hawkes model for price and trades high-frequency dynamics (2013) — 212 citations
• Scaling limits for Hawkes processes and application to financial statistics (2012) — 84 citations
• Intermittent process analysis with scattering moments (2013) — 65 citations
• The role of volume in order book dynamics: a multivariate Hawkes process analysis (2016) — 73 citations
• Hawkes Processes in Finance (2015) — 548 citations
• Modelling microstructure noise with mutually exciting point processes (2011) — 310 citations
• Non-parametric kernel estimation for symmetric Hawkes processes. Application to high frequency financial data (2011) — 192 citations