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
kyle.r?
5 messages · Joshua Ulrich, Björn Hertzberg
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
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- 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.
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. Do you know if there are any papers on the price distribution characteristics of the Kyle model? 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
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- 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.
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
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- 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.
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
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- 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.