[R-SIG-Finance] Calculating Hasbrouck's information share and Gonzalo-Granger weights on R

Drew Harris drew.harris.nz at gmail.com
Tue Jul 3 04:13:16 CEST 2012

Hi Nidhi,

I am a new R user and also trying to get my head around the price discovery
calculations to hopefully include in my University research. Your code is
very helpful for anything with 2 variables and I was hoping to extend it to
three but I cant get my head around how to construct the alpha_ort and
beta_ort. Do you have any ideas/tips? I have been reading the literature and
so far I have only found 2 dimensional instances of alpha and beta ort.

Kind Regards,


View this message in context: http://r.789695.n4.nabble.com/Calculating-Hasbrouck-s-information-share-and-Gonzalo-Granger-weights-on-R-tp2395838p4635222.html
Sent from the Rmetrics mailing list archive at Nabble.com.

More information about the R-SIG-Finance mailing list