Wavelet-based estimators of scaling behavior. - Benjamin Audit; Emmanuel Bacry; Jean-François Muzy; Alain Arneodo (IEEE Trans. Inf. Theory, 2002)

Modeling microstructure noise using Hawkes processes. - Emmanuel Bacry; Sylvain Delattre; Marc Hoffmann; Jean-François Muzy (ICASSP, 2011)

Continuous-Time Skewed Multifractal Processes as a Model for Financial Returns. - Emmanuel Bacry; Laurent Duvernet; Jean-François Muzy (J. Appl. Probab., 2012)

Mean-field inference of Hawkes point processes. - Emmanuel Bacry; Stéphane Gaïffas; Iacopo Mastromatteo; Jean-François Muzy (CoRR, 2015)

First- and Second-Order Statistics Characterization of Hawkes Processes and Non-Parametric Estimation. - Emmanuel Bacry; Jean-François Muzy (IEEE Trans. Inf. Theory, 2016)

Uncovering Causality from Multivariate Hawkes Integrated Cumulants. - Massil Achab; Emmanuel Bacry; Stéphane Gaïffas; Iacopo Mastromatteo; Jean-François Muzy (J. Mach. Learn. Res., 2017)

Sparse and low-rank multivariate Hawkes processes. - Emmanuel Bacry; Martin Bompaire; Stéphane Gaïffas; Jean-François Muzy (J. Mach. Learn. Res., 2020)

Agent market orders representation through a contrastive learning approach. - Ruihua Ruan; Emmanuel Bacry; Jean-François Muzy (CoRR, 2023)

No Tick-Size Too Small: A General Method for Modelling Small Tick Limit Order Books. - Konark Jain; Jean-François Muzy; Jonathan Kochems; Emmanuel Bacry (CoRR, 2024)