bjorn.hertzberg at gmail.com
Sat Jan 8 20:19:00 CET 2011
Ok, I'll speak with him directly.
Skickat från min iPhone
8 jan 2011 kl. 19:31 skrev Joshua Ulrich <josh.m.ulrich at gmail.com>:
> 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.
> 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?
>>>> R-SIG-Finance at r-project.org mailing list
>>>> -- Subscriber-posting only. If you want to post, subscribe first.
>>>> -- Also note that this is not the r-help list where general R questions should go.
More information about the R-SIG-Finance