A python package to estimate a Hawkes process model with a time-dependent background rate based on Omi et al., (2017).
Anyone can freely use this code without permission for non-commercial purposes, but please appropriately cite Omi et al., (2017) if you present results obtained by using AftFore.
- T. Omi, Y. Hirata, and K. Aihara, "Hawkes process model with a time-dependent background rate and its application to high-frequency financial data", Physical Review E 96, 012303 (2017). https://doi.org/10.1103/PhysRevE.96.012303
Documentation: https://omitakahiro.github.io/Hawkes_TDB/
Developed by: Takahiro Omi