[R-SIG-Finance] kyle.r?

[Björn Hertzberg]

Ok, I'll speak with him directly.

Thanks!

/bjorn



Skickat från min iPhone

8 jan 2011 kl. 19:31 skrev Joshua Ulrich <josh.m.ulrich at gmail.com>:

> Björn,
> 
> 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
> him directly.
> 
> Best,
> --
> Joshua Ulrich  |  FOSS Trading: www.fosstrading.com
> 
> 
>> 
>> 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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