Hawkes Process for LOB modelling

Please cite the following if you wish to use this code:

1. Jain, Konark and Firoozye, Nick and Kochems, Jonathan and Treleaven, Philip, Limit Order Book Dynamics and Order Size Modelling Using Compound Hawkes Process (December 14, 2023). Available at SSRN: https://ssrn.com/abstract=4766449 or http://dx.doi.org/10.2139/ssrn.4766449
2. Jain, Konark and Firoozye, Nick and Kochems, Jonathan and Treleaven, Philip, Limit Order Book Simulations: A Review (October 2023). Available at SSRN: https://ssrn.com/abstract=4745587 or http://dx.doi.org/10.2139/ssrn.4745587

Installing conda env

1. Create conda env with python dependencies

   sh setup_dependencies.sh

2. Activate conda env

   conda activate hwe

3. Download .whl file to install tick package

   Download the .whl file from https://pypi.org/project/tick/#files and run pip install file-name.whl