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Emmanuel Bacry

Emmanuel Bacry

D-Index & Metrics

Mathematics

D-Index
46
Citations
11814
World Ranking
1330
National Ranking
69

Overview

Emmanuel Bacry is affiliated with École Polytechnique in France. Their research primarily focuses on Computer Science, with a strong emphasis on subfields such as Artificial Intelligence, Finance, Economics and Econometrics, Mathematical Physics, and Global and Planetary Change.

Their work covers several main topics including:

  • Complex Systems and Time Series Analysis
  • Financial Risk and Volatility Modeling
  • Stochastic processes and statistical mechanics
  • Bayesian Methods and Mixture Models
  • Research Data Management Practices
  • Privacy-Preserving Technologies in Data
  • Ethics in Clinical Research

Among the recent papers published by Emmanuel Bacry are:

  • "Sharing sensitive data in life sciences: an overview of centralized and federated approaches," 2024, Briefings in Bioinformatics
  • "From rough to multifractal volatility: The log S-fBM model," 2022, Physica A Statistical Mechanics and its Applications
  • "Health Data Hub; plateforme des données de santé en France, application à l'oncologie radiothérapie," 2020, Cancer/Radiothérapie
  • "A Single Queue Reactive Hawkes Model for the Order Flow," 2020, Market Microstructure and Liquidity
  • "No Tick-Size Too Small: A General Method for Modelling Small Tick Limit Order Books," 2024, SSRN Electronic Journal

Frequent co-authors include:

  • Jean-François Muzy
  • Stéphane Gaïffas
  • K. C. Jain
  • Jonathan Kochems
  • Anastasiia Kabeshova

Emmanuel Bacry has contributed to several publication venues with multiple works, notably:

  • arXiv (Cornell University)
  • SSRN Electronic Journal
  • HAL (Le Centre pour la Communication Scientifique Directe)
  • Briefings in Bioinformatics
  • Physica A Statistical Mechanics and its Applications

Best Publications

  • Wavelets and multifractal formalism for singular signals: Application to turbulence data.

    J. F. Muzy;Emmanuel Bacry;A. Arneodo

  • The Multifractal Formalism Revisited with Wavelets

    J. F. Muzy;Emmanuel Bacry;A. Arneodo

  • Multifractal formalism for fractal signals: The structure-function approach versus the wavelet-transform modulus-maxima method

    Jean-François Muzy;Emmanuel Bacry;Alain Arnéodo

  • THE THERMODYNAMICS OF FRACTALS REVISITED WITH WAVELETS

    A. Arneodo;Emmanuel Bacry;J. F. Muzy

  • Multifractal random walk.

    E. Bacry;J. Delour;J. F. Muzy

  • Singularity spectrum of fractal signals from wavelet analysis: Exact results

    Emmanuel Bacry;Jean-François Muzy;Alain Arneodo

  • Hawkes processes in finance

    Emmanuel Bacry;Iacopo Mastromatteo;Jean-Fran c{c}ois Muzy

  • Characterizing long-range correlations in DNA sequences from wavelet analysis.

    Alain Arneodo;Emmanuel Bacry;P. V. Graves;Jean-François Muzy

  • Modelling fluctuations of financial time series: from cascade process to stochastic volatility model

    J. F. Muzy;J. Delour;E. Bacry

  • Log-infinitely divisible multifractal processes

    E. Bacry;J.F. Muzy

  • Modelling microstructure noise with mutually exciting point processes

    Emmanuel Bacry;Sylvain Delattre;Marc Hoffmann;Jean-François Muzy

  • Harmonic decomposition of audio signals with matching pursuit

    R. Gribonval;E. Bacry

  • Some limit theorems for Hawkes processes and application to financial statistics

    Emmanuel Bacry;Sylvain Delattre;Marc Hoffmann;Jean-François Muzy

  • Random cascades on wavelet dyadic trees

    Alain Arneodo;Emmanuel Bacry;Jean-François Muzy

  • Audio Denoising by Time-Frequency Block Thresholding

    Guoshen Yu;S. Mallat;E. Bacry

  • Non-parametric kernel estimation for symmetric Hawkes processes. Application to high frequency financial data

    Emmanuel Bacry;Khalil Dayri;Jean-Francois Muzy;Jean-Francois Muzy

  • Wavelet based fractal analysis of DNA sequences

    A. Arneodo;Y. d'Aubenton-Carafa;E. Bacry;P. V. Graves

  • A wavelet based space-time adaptive numerical method for partial differential equations

    E. Bacry;S. Mallat;G. Papanicolaou

  • Hawkes model for price and trades high-frequency dynamics

    Emmanuel Bacry;Jean-François Muzy

  • Multifractal stationary random measures and multifractal random walks with log infinitely divisible scaling laws.

    Jean-François Muzy;Emmanuel Bacry

Frequent Co-Authors

Stéphane Mallat
Stéphane Mallat École Normale Supérieure
Benjamin Audit
Benjamin Audit École Normale Supérieure de Lyon
Stéphane Jaffard
Stéphane Jaffard Paris-Est Créteil University
Sébastien Manneville
Sébastien Manneville École Normale Supérieure de Lyon
Claude Thermes
Claude Thermes University of Paris-Saclay
Xavier Rodet
Xavier Rodet Institut de Recherche et Coordination Acoustique Musique
Rémi Gribonval
Rémi Gribonval École Normale Supérieure de Lyon
Joan Bruna
Joan Bruna New York University
Fabrizio Lillo
Fabrizio Lillo University of Bologna
Henri-Jean Aubin
Henri-Jean Aubin University of Paris-Saclay

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