Matlab programs for Gibbs estimates of the Roll model
April 7, 2005

GibbsSimulate01 is a test routine that simulates some market data
according to the Roll model and then performs a Gibbs estimation.

To run, set Matlab working directory to the directory that contains	GibbsSimulate01.m.

Then at the command prompt, type GibbsSimulate01

The output should look like this:

GibbsSimulate01 starting on 07-Apr-2005 11:07:13
Simulation values:
       c: 0.0200
    varu: 1.0000e-004
Simulating Segment 1 of 2
46 buys; 50 sells; 24 Midpoints
Simulating Segment 2 of 2
48 buys; 48 sells; 24 Midpoints
var: 0.00082072 acv: -0.0003375
Moment estimates of Roll parameters:
    HalfSpread: 0.0184
      Variance: 1.4572e-004
            SD: 0.0121
   100   200   300   400   500   600   700   800   900  1000
Elapsed time: 0.721 seconds  (00:00:01).
           c mean=  0.0206 median=  0.0206 std=  0.0005 min=  0.0188 max=  0.0221
         sdu mean=  0.0103 median=  0.0102 std=0.000571 min= 0.00896 max=  0.0168
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