Message-ID: <AANLkTikXnexpFqmOrQsJ6+a__fbYmEfTSprWjy4GRf4B@mail.gmail.com>
Date: 2011-01-08T18:31:58Z
From: Joshua Ulrich
Subject: kyle.r?
In-Reply-To: <65165AF7-8EC7-4150-970C-6D95D2726A07@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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>