Talend is claiming to be the first provider of open source data integration software. I suspect the OpenAdaptor guys may dispute that claim…


Expected value

January 5, 2009

Hasbrouck uses the concept of expected value in chapters 3, 4 & 5 of EMM. The notation was unfamiliar to me til I checked the definition at PlanetMath. Then I remembered I’d come across it before in Bob Phillips book on discount optimization.

I was lucky enough to recieve a copy of Joel Hasbrouck‘s Empirical Market Microstructure this Christmas; I’ve now worked my way through the first few chapters. Hasbrouck opens with a general survey of trading in the first two chapters, covering similar ground to Harris, and then follows with the Roll model. So far I’m favourably impressed, but will post more later…