Articles

Wu P., Rambaldi M., Muzy J-F., Bacry E. (2023), A single queue reactive Hawkes model for the order flow, Market Microstructure and Liquidity

Wu P., Muzy J-F., Bacry E. (2022), From rough to multifractal volatility: The log S-fBM model, Physica A : Statistical Mechanics and its Applications, vol. 604