kyle.r?
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 Bj?rn 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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