Message-ID: <CE3F5F7C-5B0D-4457-B743-506A8842FDB1@gmail.com>
Date: 2011-01-08T19:19:00Z
From: Björn Hertzberg
Subject: kyle.r?
In-Reply-To: <AANLkTikXnexpFqmOrQsJ6+a__fbYmEfTSprWjy4GRf4B@mail.gmail.com>
Ok, I'll speak with him directly.
Thanks!
/bjorn
Skickat fr?n min iPhone
8 jan 2011 kl. 19:31 skrev Joshua Ulrich <josh.m.ulrich at gmail.com>:
> Bj?rn,
>
> 2011/1/8 Bj?rn 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 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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>>