Hawkes
Hawkes processes: parameter estimation and simulation
Academic references:
Abergel, F., M. Anane, A. Chakraborti, A. Jedidi, and I. M. Toke 2016. Limit Order Books (Physics of Society: Econophysics and Sociophysics). Cambridge University Press.
Y. Chen 2016. Multivariate Hawkes Processes and their Simulations. (Full article: https://www.math.fsu.edu/~ychen/research/multiHawkes.pdf)