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dangermouseb

Where Would Be a Great Place to Have a Discussion About Microstructure Modelling?

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what do you mean by "micro structure models"

are you talking about tick trading, fractal analysis of markets or something similar or something completely different?

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I mean Micro Structure Models as in Hasbrouck and O'Hara.

Every now and then someone here postulates a model for microstructure (last I saw was p=1/3 for up, p=1/3 for same, p=1/3 for down) and I'm up for discussion, but can't figure where people talk about this of even if Traders Lab is the place.

 

-- DM

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this looks what you are talking about.

Personally no - I dont have a lot of interest.

This is more something that some of the folks who look at ticks, delta (or their definition of it) and inventory levels....but not so much at the level of the paper.

Maybe more quant driven forums look at this. :2c:

SSRN-id1298338.pdf

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