josh.m.ulrich at gmail.com
Sat Jan 8 19:31:58 CET 2011
2011/1/8 Björn Hertzberg <bjorn.hertzberg at gmail.com>:
> 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.
I spoke with Dale off-list and he said he's working the code into a
manuscript, so he wants to keep it out of distribution.
> Do you know if there are any papers on the price distribution characteristics of the Kyle model?
I don't, but Dale probably would. That's another reason to contact
Joshua Ulrich | FOSS Trading: www.fosstrading.com
> 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?
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