JLM Simulator

Jacobs Levy Markowitz Simulator

Copyright 2004, Institutional Investor Journals. article	article
Financial Market Simulation by Bruce I. Jacobs, Kenneth N. Levy, and Harry M. Markowitz, The Journal of Portfolio Management, 30th Anniversary Issue, September 2004	Simulating Security Markets in Dynamic and Equilibrium Modes by Bruce I. Jacobs, Kenneth N. Levy, and Harry M. Markowitz, forthcoming Financial Analysts Journal, September/October 2010

Scientists often turn to asynchronous-time simulation models when they want to see how complex systems work. Such simulation models allow the underlying dynamic process to reflect events that unfold in an irregular fashion. While rarely used in finance today, such models may turn out to be valuable tools for understanding markets.

The Jacobs Levy Markowitz Simulator (JLMSim) is an asynchronous, discrete-event, stock market simulator that 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 the investing and trading decision rules. Such a simulation may be able to provide a more realistic picture of complex markets.

The simulator can be run in two modes, a Dynamic Analysis (DA) mode and a Capital Market Equilibrium (CME) mode. In the DA mode, the simulator can be run to examine the effects on security prices of changes in investment strategies, leverage, and regulatory regimes. In the CME mode, the simulator can be run to arrive at equilibrium expected returns, given a variety of financial markets.

Version M25c of JLMSim will release soon.

If you would like to be informed of JLM Simulator announcements, please provide your contact information to JLMSim@jacobslevy.com