This python package (webpage) implements our two papers from 2017:
Massil Achab, Emmanuel Bacry, Stéphane Gaïffas, Iacopo Mastromatteo, Jean-Francois Muzy. Uncovering Causality from Multivariate Hawkes Integrated Cumulants. International Conference on Machine Learning, August 2017, Sidney, Australia. 2017
Massil Achab, Emmanuel Bacry, Jean-Francois Muzy, Marcello Rambaldi. Analysis of order book flows using a nonparametric estimation of the branching ratio matrix. To appear in Quantitative Finance. 2017