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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
The standard reference for market impact analyses is: http://www.courant.nyu.edu/~almgren/papers/optliq.pdf /bjorn 28 dec 2009 kl. 07.41 skrev Megh <megh700004 at yahoo.com>: > > Hi all, Merry Christmas and happy new year > > Here I...
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...
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...
The book "Optimal trading strategies" by Kissell & Glantz cover this if my memory servs me correctly. Not aware of any implementations of it though... /b Skickat fr?n min iPhone 11 dec 2009 kl. 16.38 skrev R_help Help...
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