I actually gave a talk on this 7 years ago in Hong Kong.  Orderbook market microstructure is a fascinating topic.  Ping me if you want to discuss things.

Got a response - they're reviewing it.Thanks for the help!

Paper is about predicting movement of a stock index through an "ensemble LMS filter" of constituent components.How do I PM @Paul?

I have a paper of finance that may be of interest to the journal. I e-mailed the paper to the address listed (submit, but never received any kind of response.Does anybody have any contact with the editor there? Is there an alternate channel for submission.Thanks

<t>Hi,My example is about understanding the relationship between log of returns and dollar values. (I didn't write out all the math for GARCH here as that isn't very relevant to the question.)My understanding of GARCH is that, if reasonably accurate, is one way to estimate volatility. Historical ret...

<t>Hi,I'm a bit confused on how to convert a garch of log returns into a dollar value. My understanding is that garch will give us the volatility. The square root of that is the standard deviation. But just multiplying the SD times the price does not appear to produce the correct values. (They seem ...

Hi,The distributions do not appear to fit any known distribution. I think it would be very dangerous to assume a parametric and then use that for monte carlo estimation.Isn't there some kind of bootstrap or "empirical monte carlo" method I can look at?

<t>I'm working on a Monte Carlo function for valuing several assets with partially correlated returns. Currently, I just generate a covariance matrix and feed to the the rmvnorm() function in R. (Generates correlated random values.)However, looking at the distributions of returns of an asset, it is ...

Just read a VEY interesting article here on Wilmott about RBF models for option pricing. That might be an interesting topic to explore for the quarter. However, I'd need a bit more than the one article here. Any thoughts? Good idea?

Yes, But the BS formula depends on the normal distribution of (d1). It assumes constant volatility and normal distribution of price movements.

<t>Hi,Working under non-normality seems like the way to go. Every time a professor write a Weiner process or Black Scholes on the board, my first reaction is always, "what if it isn't normally distributed". The answer, of course, is "yes". But I have yet to see any good simulations done with alterna...

Thanks for the suggestion.A few I came across this afternoon were:Monte Carlo Methods in Financial Engineering - GlassmanStatistical Methods in Finance - Tze Leung LaiTime Series in R for finance - RmetricsVolatility Arbitrage - Alireza Javaheri Any opinions? -N

<t>Hi,I'm a graduate student in the Statistics Dept. at UCLA. My interest in is finance and quantitative models. My dept is gracious enough to allow me to do about half my coursework focused directly on financial topics. Some areas of particular interest are derivatives, computational finance, and t...

Kelly formula would indicate a $0 bet for this outcome. You have no edge.

He also wrote, "Beat the Market" shortly after.If you read his bio, he started one of the earliest hedge funds that has been one of the most successful to date. There are some great free articles on Wilmott where he discusses his work over the years. -N