Monte Carlo methods are traditionally used for simulating time series. In many other areas Quasi Monte Carlo outperforms Monte Carlo by a wide margin. How wide spread is application of Quasi Monte Carlo in time series simulation ? I managed to find just one paper on the web: Li J.X., Winker P., Time Series Simulation with Quasi Monte Carlo Methods, Computational Economics, 21: 23-43, 2003. Authors showed that Quasi Monte Carlo methods significantly outperformed Monte Carlo. Quote: " in Monte Carlo simulation approximation errors of more than 1 percent may appear frequently. Simulated effects in financial time series are often smaller than 1 percent, consequently, the approximation error of Monte Carlo simulation can be larger than the simulated effect". Are there any other proofs that Quasi Monte Carlo provides much higher accuracy than Monte Carlo ?

Dostoevsky,aren't you from St.Pete ?there are a lot of resources on applications of QMC to options pricing, for example.Look here:http://www.informs-cs.org/wsc99papers/0 ... c.htmlrest is at:http://www.google.com/search?sourceid=n ... lo+options

Fedor Dostoevsky was from St. Petersburg, unfortunatley, I am not his direct decsendant ( culturally - yes ). I know about applications of QMC to options pricing. See my posts :http://www.wilmott.com/messageview.cfm? ... eadid=7481 http://www.wilmott.com/messageview.cfm? ... _MSGDBTABL I am really interested in the application of Quasi Monte Carlo in time series simulation.

Look here:http://www.maphysto.dk/cgi-bin/w3-msql/ ... ours,Klaus.