Time Series Simulation with Quasi Monte Carlo
Posted: June 20th, 2004, 9:13 am
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 ?