Author: Prof. Joachim Grammig, University of Tuebingen
joachim.grammig@uni-tuebingen.de

   Producing the estimation results in
   Grammig Schiereck and Theissen
   Knowing me, Knowing you Journal of Financial Markets,
Knowing Me, Knowing You: Trader Anonymity and Informed Trading in Parallel Markets, Journal of
Financial Markets, Vol. 4, 2001, 385 - 412 . Free Code, but cite source Joachim Grammig, Tuebingen,
NOvember 2008

for the BAY (Bayer Stock)

bidask2.prc contains the GAUSS procedures to construct log-likelihoods, Test statistics
and so forth

reproduce_BAY_results.prg
is the frontend program that performs the analysis

Estimation is conducted for three data sets where trades occurring
within a time intervals are aggregated (5 sec, 1 sec and 0 sec aggregation)
