{"id":"https://openalex.org/W2939518482","doi":"https://doi.org/10.1109/icassp.2019.8683734","title":"Maximum-entropy Scattering Models for Financial Time Series","display_name":"Maximum-entropy Scattering Models for Financial Time Series","publication_year":2019,"publication_date":"2019-04-17","ids":{"openalex":"https://openalex.org/W2939518482","doi":"https://doi.org/10.1109/icassp.2019.8683734","mag":"2939518482"},"language":"en","primary_location":{"id":"doi:10.1109/icassp.2019.8683734","is_oa":false,"landing_page_url":"https://doi.org/10.1109/icassp.2019.8683734","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"ICASSP 2019 - 2019 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP)","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5046389600","display_name":"Roberto Leonarduzzi","orcid":"https://orcid.org/0000-0003-3903-2416"},"institutions":[{"id":"https://openalex.org/I29607241","display_name":"\u00c9cole Normale Sup\u00e9rieure - PSL","ror":"https://ror.org/05a0dhs15","country_code":"FR","type":"other","lineage":["https://openalex.org/I2746051580","https://openalex.org/I29607241"]},{"id":"https://openalex.org/I4210129409","display_name":"Institut de Biologie de l'\u00c9cole Normale Sup\u00e9rieure","ror":"https://ror.org/03mxktp47","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I154526488","https://openalex.org/I2746051580","https://openalex.org/I29607241","https://openalex.org/I4210096427","https://openalex.org/I4210129409"]},{"id":"https://openalex.org/I4210161954","display_name":"D\u00e9partement d'Informatique","ror":"https://ror.org/05y6rqs46","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I1326498283","https://openalex.org/I2746051580","https://openalex.org/I29607241","https://openalex.org/I4210159245","https://openalex.org/I4210161954"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Roberto Leonarduzzi","raw_affiliation_strings":["&#x00C9;cole Normale Sup&#x00E9;rieure, PSL, Paris, 75005, France","DI-ENS - D\u00e9partement d'informatique - ENS-PSL (\u00c9cole normale sup\u00e9rieure 45 rue d'Ulm F-75230 Paris Cedex 05 - France)"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"&#x00C9;cole Normale Sup&#x00E9;rieure, PSL, Paris, 75005, France","institution_ids":["https://openalex.org/I4210129409"]},{"raw_affiliation_string":"DI-ENS - D\u00e9partement d'informatique - ENS-PSL (\u00c9cole normale sup\u00e9rieure 45 rue d'Ulm F-75230 Paris Cedex 05 - France)","institution_ids":["https://openalex.org/I29607241","https://openalex.org/I4210161954"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5089322164","display_name":"Gaspar Rochette","orcid":null},"institutions":[{"id":"https://openalex.org/I29607241","display_name":"\u00c9cole Normale Sup\u00e9rieure - PSL","ror":"https://ror.org/05a0dhs15","country_code":"FR","type":"other","lineage":["https://openalex.org/I2746051580","https://openalex.org/I29607241"]},{"id":"https://openalex.org/I4210129409","display_name":"Institut de Biologie de l'\u00c9cole Normale Sup\u00e9rieure","ror":"https://ror.org/03mxktp47","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I154526488","https://openalex.org/I2746051580","https://openalex.org/I29607241","https://openalex.org/I4210096427","https://openalex.org/I4210129409"]},{"id":"https://openalex.org/I4210161954","display_name":"D\u00e9partement d'Informatique","ror":"https://ror.org/05y6rqs46","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I1326498283","https://openalex.org/I2746051580","https://openalex.org/I29607241","https://openalex.org/I4210159245","https://openalex.org/I4210161954"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Gaspar Rochette","raw_affiliation_strings":["&#x00C9;cole Normale Sup&#x00E9;rieure, PSL, Paris, 75005, France","DI-ENS - D\u00e9partement d'informatique - ENS-PSL (\u00c9cole normale sup\u00e9rieure 45 rue d'Ulm F-75230 Paris Cedex 05 - France)"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"&#x00C9;cole Normale Sup&#x00E9;rieure, PSL, Paris, 75005, France","institution_ids":["https://openalex.org/I4210129409"]},{"raw_affiliation_string":"DI-ENS - D\u00e9partement d'informatique - ENS-PSL (\u00c9cole normale sup\u00e9rieure 45 rue d'Ulm F-75230 Paris Cedex 05 - France)","institution_ids":["https://openalex.org/I29607241","https://openalex.org/I4210161954"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5109421426","display_name":"Jean-Phillipe Bouchaud","orcid":null},"institutions":[{"id":"https://openalex.org/I44713367","display_name":"Capital Fund Management (France)","ror":"https://ror.org/01kpwv903","country_code":"FR","type":"company","lineage":["https://openalex.org/I44713367"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Jean-Phillipe Bouchaud","raw_affiliation_strings":["Science &#x0026; Finance, Capital Fund Management, Paris, 75009, France","Science & Finance, Capital Fund Management, Paris, France"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Science &#x0026; Finance, Capital Fund Management, Paris, 75009, France","institution_ids":["https://openalex.org/I44713367"]},{"raw_affiliation_string":"Science & Finance, Capital Fund Management, Paris, France","institution_ids":["https://openalex.org/I44713367"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5065086376","display_name":"St\u00e9phane Mallat","orcid":"https://orcid.org/0000-0001-5263-8960"},"institutions":[{"id":"https://openalex.org/I187986737","display_name":"Coll\u00e8ge de France","ror":"https://ror.org/04ex24z53","country_code":"FR","type":"education","lineage":["https://openalex.org/I187986737"]},{"id":"https://openalex.org/I29607241","display_name":"\u00c9cole Normale Sup\u00e9rieure - PSL","ror":"https://ror.org/05a0dhs15","country_code":"FR","type":"other","lineage":["https://openalex.org/I2746051580","https://openalex.org/I29607241"]},{"id":"https://openalex.org/I4210129409","display_name":"Institut de Biologie de l'\u00c9cole Normale Sup\u00e9rieure","ror":"https://ror.org/03mxktp47","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I154526488","https://openalex.org/I2746051580","https://openalex.org/I29607241","https://openalex.org/I4210096427","https://openalex.org/I4210129409"]},{"id":"https://openalex.org/I4210161954","display_name":"D\u00e9partement d'Informatique","ror":"https://ror.org/05y6rqs46","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I1326498283","https://openalex.org/I2746051580","https://openalex.org/I29607241","https://openalex.org/I4210159245","https://openalex.org/I4210161954"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"St\u00e9phane Mallat","raw_affiliation_strings":["&#x00C9;cole Normale Sup&#x00E9;rieure, PSL, Paris, 75005, France","Coll\u00e8ge de France - Chaire Sciences des donn\u00e9es (Coll\u00e8ge de France, 11 Place Marcelin Berthelot, 75005 Paris - France)","DI-ENS - D\u00e9partement d'informatique - ENS-PSL (\u00c9cole normale sup\u00e9rieure 45 rue d'Ulm F-75230 Paris Cedex 05 - France)"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"&#x00C9;cole Normale Sup&#x00E9;rieure, PSL, Paris, 75005, France","institution_ids":["https://openalex.org/I4210129409"]},{"raw_affiliation_string":"Coll\u00e8ge de France - Chaire Sciences des donn\u00e9es (Coll\u00e8ge de France, 11 Place Marcelin Berthelot, 75005 Paris - France)","institution_ids":["https://openalex.org/I187986737"]},{"raw_affiliation_string":"DI-ENS - D\u00e9partement d'informatique - ENS-PSL (\u00c9cole normale sup\u00e9rieure 45 rue d'Ulm F-75230 Paris Cedex 05 - France)","institution_ids":["https://openalex.org/I29607241","https://openalex.org/I4210161954"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":5,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":3.2906,"has_fulltext":false,"cited_by_count":10,"citation_normalized_percentile":{"value":0.93414132,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":97},"biblio":{"volume":null,"issue":null,"first_page":"5496","last_page":"5500"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9987000226974487,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9987000226974487,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9921000003814697,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10244","display_name":"Chaos control and synchronization","score":0.9776999950408936,"subfield":{"id":"https://openalex.org/subfields/3109","display_name":"Statistical and Nonlinear Physics"},"field":{"id":"https://openalex.org/fields/31","display_name":"Physics and Astronomy"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/multifractal-system","display_name":"Multifractal system","score":0.8765932321548462},{"id":"https://openalex.org/keywords/statistical-physics","display_name":"Statistical physics","score":0.6958386301994324},{"id":"https://openalex.org/keywords/wavelet","display_name":"Wavelet","score":0.5958421230316162},{"id":"https://openalex.org/keywords/principle-of-maximum-entropy","display_name":"Principle of maximum entropy","score":0.55077064037323},{"id":"https://openalex.org/keywords/series","display_name":"Series (stratigraphy)","score":0.5272406935691833},{"id":"https://openalex.org/keywords/stochastic-process","display_name":"Stochastic process","score":0.5210956335067749},{"id":"https://openalex.org/keywords/entropy","display_name":"Entropy (arrow of time)","score":0.4858348071575165},{"id":"https://openalex.org/keywords/scattering","display_name":"Scattering","score":0.4419178366661072},{"id":"https://openalex.org/keywords/time-series","display_name":"Time series","score":0.43365517258644104},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.3903151750564575},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.33473408222198486},{"id":"https://openalex.org/keywords/fractal","display_name":"Fractal","score":0.3048440217971802},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.25687694549560547},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.19894662499427795},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.17990019917488098},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.13977906107902527},{"id":"https://openalex.org/keywords/quantum-mechanics","display_name":"Quantum mechanics","score":0.08336839079856873}],"concepts":[{"id":"https://openalex.org/C133905733","wikidata":"https://www.wikidata.org/wiki/Q2629238","display_name":"Multifractal system","level":3,"score":0.8765932321548462},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.6958386301994324},{"id":"https://openalex.org/C47432892","wikidata":"https://www.wikidata.org/wiki/Q831390","display_name":"Wavelet","level":2,"score":0.5958421230316162},{"id":"https://openalex.org/C9679016","wikidata":"https://www.wikidata.org/wiki/Q1417473","display_name":"Principle of maximum entropy","level":2,"score":0.55077064037323},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.5272406935691833},{"id":"https://openalex.org/C8272713","wikidata":"https://www.wikidata.org/wiki/Q176737","display_name":"Stochastic process","level":2,"score":0.5210956335067749},{"id":"https://openalex.org/C106301342","wikidata":"https://www.wikidata.org/wiki/Q4117933","display_name":"Entropy (arrow of time)","level":2,"score":0.4858348071575165},{"id":"https://openalex.org/C191486275","wikidata":"https://www.wikidata.org/wiki/Q210028","display_name":"Scattering","level":2,"score":0.4419178366661072},{"id":"https://openalex.org/C151406439","wikidata":"https://www.wikidata.org/wiki/Q186588","display_name":"Time series","level":2,"score":0.43365517258644104},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3903151750564575},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.33473408222198486},{"id":"https://openalex.org/C40636538","wikidata":"https://www.wikidata.org/wiki/Q81392","display_name":"Fractal","level":2,"score":0.3048440217971802},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.25687694549560547},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.19894662499427795},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.17990019917488098},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.13977906107902527},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.08336839079856873},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1109/icassp.2019.8683734","is_oa":false,"landing_page_url":"https://doi.org/10.1109/icassp.2019.8683734","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"ICASSP 2019 - 2019 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP)","raw_type":"proceedings-article"},{"id":"pmh:oai:HAL:hal-04023780v1","is_oa":false,"landing_page_url":"https://hal.science/hal-04023780","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"ICASSP 2019 - 2019 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP), May 2019, Brighton, United Kingdom. pp.5496-5500, &#x27E8;10.1109/ICASSP.2019.8683734&#x27E9;","raw_type":"info:eu-repo/semantics/conferenceObject"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":33,"referenced_works":["https://openalex.org/W1517994826","https://openalex.org/W1553849004","https://openalex.org/W1644934820","https://openalex.org/W1979575715","https://openalex.org/W1994906459","https://openalex.org/W1995762520","https://openalex.org/W1999996900","https://openalex.org/W2043711675","https://openalex.org/W2064562192","https://openalex.org/W2081300120","https://openalex.org/W2100011707","https://openalex.org/W2102568183","https://openalex.org/W2127318110","https://openalex.org/W2128424195","https://openalex.org/W2136913207","https://openalex.org/W2156649359","https://openalex.org/W2161798353","https://openalex.org/W2611011638","https://openalex.org/W2762951684","https://openalex.org/W2898475778","https://openalex.org/W2963431808","https://openalex.org/W3100766587","https://openalex.org/W3102033631","https://openalex.org/W3122874542","https://openalex.org/W3122907529","https://openalex.org/W3125621989","https://openalex.org/W4230184436","https://openalex.org/W4255103909","https://openalex.org/W6637079739","https://openalex.org/W6678790813","https://openalex.org/W6747742140","https://openalex.org/W6755940708","https://openalex.org/W6811442113"],"related_works":["https://openalex.org/W1639315488","https://openalex.org/W2056486084","https://openalex.org/W4382488079","https://openalex.org/W2042397562","https://openalex.org/W2356714366","https://openalex.org/W1977404842","https://openalex.org/W2370749423","https://openalex.org/W2010006040","https://openalex.org/W1985063657","https://openalex.org/W2148392559"],"abstract_inverted_index":{"Modeling":[0],"time":[1,22,71],"series":[2,23],"with":[3,62],"complex":[4],"statistical":[5],"properties":[6,83],"such":[7,25,47],"as":[8],"heavy-tails,":[9],"long-range":[10],"dependence,":[11],"and":[12,33,54,68,81],"temporal":[13,96],"asymmetries":[14],"remains":[15],"an":[16],"open":[17],"problem.":[18],"In":[19],"particular,":[20],"financial":[21,70],"exhibit":[24],"properties.":[26],"Existing":[27],"models":[28],"suffer":[29],"from":[30],"serious":[31],"limitations":[32],"often":[34],"rely":[35],"on":[36,51],"high-order":[37,86],"moments.":[38,56,87],"We":[39,57,73],"introduce":[40],"a":[41,63],"wavelet-based":[42],"maximum":[43],"entropy":[44],"model":[45],"for":[46],"random":[48,66],"processes,":[49],"based":[50],"new":[52],"scattering":[53,76],"phase-harmonic":[55,93],"analyze":[58],"the":[59],"model's":[60],"performance":[61],"synthetic":[64],"multifractal":[65,82],"process":[67],"real-world":[69],"series.":[72],"show":[74,90],"that":[75,91],"moments":[77],"capture":[78,95],"heavy":[79],"tails":[80],"without":[84],"estimating":[85],"Further,":[88],"we":[89],"additional":[92],"terms":[94],"asymmetries.":[97]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":3},{"year":2020,"cited_by_count":3}],"updated_date":"2026-07-02T09:51:11.867554","created_date":"2025-10-10T00:00:00"}
