[R-SIG-Finance] kyle.r?

[Björn Hertzberg]

No, havn't spoken with him. If he wishes to keep it out of distribution, then I agree we should respect his wishes. Just need to check some things to know if it's worth spending more time on the (Kyle) model.

Do you know if there are any papers on the price distribution characteristics of the Kyle model?


Regards,


Bjorn




8 jan 2011 kl. 18:50 skrev Joshua Ulrich <josh.m.ulrich at gmail.com>:

> I attended that presentation and I'm fairly certain Dale asked that we
> not share his code.  Have you asked him for it?
> --
> Joshua Ulrich  |  FOSS Trading: www.fosstrading.com
> 
> 
> 
> 2011/1/8 Björn Hertzberg <bjorn.hertzberg at gmail.com>:
>> I've been trying to find the code for simulating the Kyle 1985 model that Dale Rosenthal presented on his R/Finance 2009 market microstructure tutorial, but can't find it. Does anyone have a copy of it?
>> 
>> Regards,
>> 
>> Bjorn
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