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

[dangermouseb 10]

Hi,

 

Is anyone here interested in microstructure models? Or would anyone be able to recommend a place / forum etc to talk about them?

 

Thanks in advance

 

DM

[SIUYA 11]

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?

[dangermouseb 10]

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

[SIUYA 11]

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.

SSRN-id1298338.pdf

[dangermouseb 10]

yup that's the stuff.. kinda the rigourous side of market profile and wychoff... any pointers to where to find a good "quant" forum?

 

DM

[SIUYA 11]

the only one I really know of is nuclear phynance