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JLM Simulator
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Copyright 2004, Institutional Investor
Journals.
article
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Financial Market Simulation
by Bruce I. Jacobs, Kenneth N. Levy, and Harry M. Markowitz, The Journal of Portfolio
Management, 30th Anniversary Issue, September 2004
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When they want to see how complex systems work, scientists often turn to asynchronous-time simulation models, which allow processes to change sporadically over time, typically at irregular intervals. While rarely used in finance today, such models may turn out to be valuable tools for understanding how markets respond to changes in the participation rates of different types of investors, for example, or to changes in regulatory or investment policies. The asynchronous, discrete-event, stock market simulator described here allows users to create a model of the market, using their own inputs. Users can vary the numbers of investors, traders, portfolio analysts, and securities, as well as their own investing and trading decision rules. Such a simulation may be able to provide a more realistic picture of complex markets.
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