MultiHawkes

MultiHawkes is a project for simulating multivariate Hawkes processes using C++ 17 and Python 3.

Installation in Windows

1. Clone the repository:

   git clone https://github.com/ZakariaBensaid/MultiHawkes.git
   cd MultiHawkes

2. Download and install Visual Studio for C++ :

   • Download and install Visual Studio with the "Desktop development with C++" workload.

3. Install requirements: (cmake, pybind11, numpy, matplotlib, tensorflow)

   pip install -r requirements.txt

4. Build the project using CMake :

   mkdir build
   cd build
   cmake ..
   cmake --build .

Installation in Linux/MacosX

1. Clone the repository:

   git clone https://github.com/ZakariaBensaid/MultiHawkes.git
   cd MultiHawkes

2. Install requirements: (cmake, pybind11, numpy, matplotlib, tensorflow)

   pip install -r requirements.txt

3. Build the project using Cmake :

   mkdir build
   cd build
   cmake ..
   make

Test

1. Run the following code : (Notice: if you don't have the build folder it won't run)

   #Set the path to the hawkes library
   import os 
   import sys
   
   script_dir = os.path.dirname(os.path.realpath(__file__))
   module_dir = os.path.join(script_dir, 'build') # path to the hawkes library and sometimes it's 'build/Debug' or 'build/Release' for windows   (look for .pyd file) 
   sys.path.insert(0, 'build/')
   
   import hawkes
   
   mu = [0.1, 0.2]
   alpha = [[0.5, 0.1], [0.1, 0.5]]
   beta = [[1.0, 1.0], [1.0, 1.0]]
   T = 10.0
   nbSimulations = 100
   nbThreads = 4
   
   results, jump_times = hawkes.simulate_hawkes(nbSimulations, nbThreads, mu, alpha, beta, T)
   print(results)
   print(jump_times)

Contributing

Contributions are welcome! Please open an issue or submit a pull request.

License

This project is licensed under the MIT License.