Emmanuel Bacry graduated from Ecole Normale Supérieure (Ulm, Paris, France) in 1990. He received the Ph.D. degree in Applied Mathematics from the university of Paris VII (France) in 1992 and obtained the "Habilitation à diriger des recherches" four years later.
He is a researcher fellow at the Centre Nationale de Recherche Scientifique (CNRS) and an Associate Professor at the Centre de Mathématiques Appliquées (CMAP) at Ecole Polytechnique, Palaiseau, France.
Since 2014, he is the head of the "Big Data and Data Science Initiative" of Ecole Polytechnique. In the last decades, he has focussed his research interest on various subjects including multifractal theory, statistics of random processes, random process in interaction, large dimension and Big Data.
He is currently heading a project between Ecole Polytechnique and the Caisse Nationale d'Assurance Maladie (CNAMTS) consisting on data-mining the french public health database which is one of the biggest health database in the world (approximately 1000To).
He has been regularly acting as a consultant for many startups as well as many large companies such as Deutsche Bank, Société Générale, BNP-Paribas, Chevreux, Havas Media, ...
|Revealing high-frequency dynamics using Hawkes processes||05 NOV 2015||04:40pm - 05:10pm|
Multivariate Hawkes processes are used to reveal high-frequency dynamics of financial time-series. We use a new modified non-parametric estimation procedure that is able to estimate faithfully power-law decreasing kernels over 7 decades (from 10 micro-seconds up to 100 seconds). We propose an 8-dimensional Hawkes model for all events associated with the first level of some asset order book. Applying our estimation procedure to this model, allows us to uncover the main properties of the coupled dynamics of trade, limit and cancel orders in relationship with the mid-price variations.