Jean-François Muzy

Finance · 2000–2015

A researcher in the Science corpus: 10 papers; trusts 44 researchers and is trusted by 32 researchers here, as inferred from the citation graph.

Subfields

• Finance — 42 citations into it; #3,055 of 10,518 by trust here, #3,438 by citations
• Economics and Econometrics — 41 citations into it; #8,745 of 23,481 by trust here, #9,259 by citations
• Applied Mathematics — 27 citations into it; #739 of 7,620 by trust here, #675 by citations
• Statistics and Probability — 12 citations into it
• Mathematical Physics — 9 citations into it; #3,295 of 8,562 by trust here, #1,961 by citations
• Molecular Biology — 8 citations into it; #3,001 of 17,773 by trust here, #10,047 by citations
• Artificial Intelligence — 7 citations into it; #19,885 of 35,345 by trust here, #29,412 by citations
• Geometry and Topology — 5 citations into it

Whom Jean-François Muzy trusts overall

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

1. Emmanuel Bacry
2. Sylvain Delattre
3. Thibault Jaisson
4. Stéphane Mallat
5. Clive G. Bowsher
6. Fabrizio Lillo
7. Yacine Aït-Sahalia
8. Marc Hoffmann
9. Paul Embrechts
10. Jean-Philippe Bouchaud

Who trusts Jean-François Muzy overall

1. Emmanuel Bacry
2. Rama Cont
3. Thibault Jaisson
4. Mathieu Rosenbaum
5. Joan Bruna
6. Jean-Philippe Bouchaud
7. Alan G. Hawkes
8. Iacopo Mastromatteo
9. Omar El Euch
10. D. Taranto

Papers from Jean-François Muzy's perspective

Ordered by how strongly the researchers Jean-François Muzy trusts endorse each paper. Same corpus, a different order for every researcher.

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

Their papers

• Modelling fluctuations of financial time series: from cascade process to stochastic volatility model (2000) — 294 citations
• Continuous cascade models for asset returns (2008) — 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
• 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
• Long-Range Correlations in Genomic DNA (2001) — 84 citations