JLMSim: JLMSim Input File Documentation
Graphical User Interface
Introduction
Methodology
Starting the GUI
File Control
Loading an Existing Template File
Saving a Template File
Generating the
JLMSimInput.txt File
Creating
or Modifying Simulation Parameters
Basic
Financing
Factors
Securities
Statisticians
Analysts
Investors
Traders
Appendix: Contents of a Typical Template File
Introduction
The JLMSim Input Graphical User Interface (or Input GUI) is an interface program with which users can create the JLMSimInput.txt file required by the JLMSim program for each simulation run. The Input GUI:
Methodology
The Input GUI uses template files with the default extension “.jlm” for storing parameter information for each simulation run. The user is free to create any number of template files, and the Input GUI provides a mechanism for reading and writing these files. Thus, the use of the JLMSim with the Input GUI is a multi-step procedure in which the user performs the following steps:
- Using the Input GUI, creates or imports a .jlm template file.
- Using the Input GUI, edits the template file.
- Using the Input GUI, generates a JLMSimInput.txt file.
- Runs the JLMSim program.
Starting the GUI
To launch the Input GUI, click on the Input GUI shortcut listed under Start / Programs / JLMSimulator.
Input
GUI
Figure 1. JLMSim Input GUI Shortcut.
When the program first runs, it will present you with the screen shown in Figure 2. This screen represents an empty tabbed workbook. Each worksheet in the workbook represents a particular type of input to JLMSim, or a different type of entity. You can either enter information directly into each input field in each worksheet, or enter all information automatically by importing an existing template file. Once you are satisfied with the parameters for the simulation run, you can save the template for later use, and then export the template to a JLMSimInput.txt file. The following sections describe the process of loading, editing, and saving templates, and of exporting the JLMSimInput.txt file.
Figure 2. The Empty Workbook.
File Control
This section describes the process of loading and saving template files, and of creating the JLMSimInput.txt file.
Loading an Existing Template File
You can create a new template file simply by typing information into the appropriate fields in an empty workbook. However, probably the simplest way to create a new template is to import and modify an existing one. To import an existing template, you can either click the Load Template button in the Template Control pane, or pull down the File Menu and choose the Load Template menu item. In either case, the Input GUI will then display a File Open dialog box with which you can navigate to an appropriate folder and select a .jlm template file.
The Input GUI package includes a sample file named sample.jlm. Appendix A shows the contents of this file. The template file contains a compact and simplified, but complete, version of a JLMSimInput.txt file. Once this template file is loaded into the Input GUI, all fields are completed, as shown in Figure 3.
Figure 3: The Basic Information Worksheet.
Saving a Template File
Once you are satisfied with the simulation parameters that you have entered, you can save the information into a new or existing .jlm template file either by clicking the Save Template button in the Template Control pane, or by pulling down the File Menu and choosing the Save Template menu item. In either case, the Input GUI will then display a File Save dialog box with which you can navigate to an appropriate folder and save the .jlm template file.
Generating the JLMSimInput.txt File
To generate the JLMSimInput.txt file in preparation for use by the JLMSim program, click the Generate JLMSimInput button in the JLMSim Input File Control pane. This will present you with a File Save dialog box, with which you should navigate to the folder in which the JLMSim program resides, and save the file as JLMSimInput.txt.
Creating or Modifying Simulation Parameters
To create a new template file, start the Input GUI and enter information into all worksheets as described below, and then save the information as a new template file. To modify information in an existing template file, load the file into the Input GUI as described above, edit any parameters that you want to change, and save the template file.
All simulation input information is represented in the eight worksheets, labeled “Basic,” “Financing,” "Factors,” “Securities,” “Statisticians,” “Analysts,” “Investors,” and “Traders.” You can navigate from worksheet to worksheet by clicking on the appropriately labeled tabs, or you can pull down the Edit Menu and select the appropriate item.
The following subsections describe the information in each worksheet.
The Basic Information Worksheet
The Basic Information worksheet, as shown in Figure 3, contains the following nine fields that control general parameters of the simulation:
-
Case Description. This is an abbreviated description of the simulation parameters. It should contain no spaces, nor a colon, nor any characters that are not valid in a file name. The simulation uses this description as the name of a text file that it creates. The text file contains all parameters necessary to recreate the simulation.
-
Length of Simulation. This is the number of days that the simulation should run.
-
Random Seed. A value of “–1” instructs the simulation program to use the default random seed. The next-to-be-used random seed at the end of a simulation is printed as one of the final outputs of the file named Parameters…csv. Using this saved seed is recommended if a new, non-default random seed is desired.
-
Only Short on Uptick. A “Y” in this field indicates that the program should enforce an uptick rule. An “N” indicates that the rule will not be enforced.
-
Short Rebate Fraction. The proceeds of a short sale are posted as collateral. This collateral is marked to market each day (i.e., made equal to the current value of the short position). This collateral earns daily interest at the “Riskfree Rate (broker pays)” as described in the Financing worksheet. The entry in this field indicates what fraction (if any) of the earnings on short collateral is paid (rebated) to the investor with the short position.
-
Number of Days Data Kept. Some estimation procedures use historical daily returns, and some currently implemented trading rules use recent end-of-day prices. The entry in this field indicates the number of days of data that the program keeps for possible use in historical analysis.
-
Number of Months Data Kept. Some estimation procedures use historical monthly returns. The entry in this field indicates the number of months of data that the program keeps for possible use in historical analysis.
-
Days Elapsed Before Order Impact Analysis. The Order Impact Analysis can skip the early part of the simulation, if desired. This entry indicates how many days are to be skipped before the start of the Order Impact Analysis.
-
Data are Exogenous or Endogenous. An “X” in this field stands for exogenous, and indicates that the return series used by the statisticians (in estimating either expected returns or covariances) are to “recycle” the returns drawn from a factor model before the start of the simulation. The series used by the statisticians will cycle through the kept days or kept months, returning to the beginning of the series when the end of the series is reached. An “N” in this field stands for endogenous, and indicates that historical returns will reflect actual returns in the simulation as these are generated. The choice of “X” or “N” affects the source of return data only, not the source of recent price data used by some trading rules.
The Financing Worksheet
The Financing Information worksheet, as shown in Figure 4, controls simulation-wide information pertaining to the financing of trading.
Figure 4: The Financing Information Worksheet.
The Financing Worksheet contains the following fields:
-
Max Initial Sum of Long + |Short|. The entry in this field is a system-wide (all investor) maximum on the “initial” leverage. Leverage is the ratio whose numerator is the sum of the value of long positions and the absolute value of short positions, and whose denominator is the equity in the account. No transaction that would violate the initial leverage constraint can be executed. Individual investor templates may have more restrictive policy constraints on the initial leverage.
-
Max Mark-to-Market Sum of Long + |Short|. The entry in this field is the “maintenance” or mark-to-market constraint parameter. If the leverage becomes greater than this (because of market movement), then enough of the account must be liquidated to bring it into compliance; i.e., to satisfy the constraint.
-
Initial “Annual” Broker Rate (broker charges). The entry in this field controls the “annual” rates that the broker charges. The program divides this annual rate by the number of trading days in a simulated year and uses the result as the daily rate.
-
Initial “Annual” Riskfree Rate (broker pays). The entry in this field controls the “annual” rates that the broker pays. The program divides this annual rate by the number of trading days in a simulated year and uses the result as the daily rate.
-
Increase Rates if total debt exceeds this. The entry in this field indicates the level of total indebtedness that will trigger an increase in interest rates. The program checks this trigger point once per simulated month. A value of “10,000,000,000,” as shown in Figure 4, will deactivate the trigger.
-
Decrease Rates if total debt is less than this. The entry in this field indicates the level of total indebtedness that will trigger a decrease in interest rates. The program checks this trigger point once per simulated month. A value of “0,” as shown in Figure 4, will deactivate the trigger.
-
Broker Rate Delta (“Annual”). The entry in this field is the increment in the “annual” rate that the broker charges if the trigger points are breached. The rate is increased by this amount if the total debt is greater than or equal to the upper trigger point; it is decreased by this amount if the total is less than the lower trigger point.
-
Riskfree Rate Delta (“Annual”). The entry in this field is the increment in the “annual” rate that the broker pays if the trigger points are breached. The rate is increased by this amount if the total debt is greater than or equal to the upper trigger point; it is decreased by this amount if the total is less than the lower trigger point.
-
Don't lower rates before this day. It may be desirable not to begin lowering interest rates until some interval of simulated time has elapsed. The entry in this field indicates the day number at which the program should start lowering interest rates.
-
Don't raise rates before this day. It may be desirable not to begin raising interest rates until some interval of simulated time has elapsed. The entry in this field indicates the day number at which the program should start raising interest rates.
-
Small Purchase Slack. The entry in this field indicates the minimum allowed purchase size.
The Factors Worksheet
At the start of the simulation, the historical data in the statistician’s database are generated by a factor model. The Factors worksheet, as shown in Figure 5, controls the parameters of that factor model.
Figure 5: The Factors Worksheet.
The pair of buttons labeled Factors at the top left corner of the Factor Data pane in the worksheet control the number of factors that the program uses in the factor model. The number of factors in use is indicated immediately to the right of the buttons. Pressing the button with an upward pointing arrow increases the number of factors. Each time the number of factors is increased, another row is added to the table in the worksheet, and another column is added to the table in the Securities worksheet. Similarly, pressing the button with the downward pointing arrow causes the numbers of factors to decrease. Notice that the factors are labeled from a base of zero. Thus, for example, a two-factor model has factors labeled “Fact0” and “Fact1.”
The table in the Factors worksheet requires two parameters for each factor:
- Daily Return. This is the expected daily
return that the factor provides, measured as a fraction. So, for example,
an entry of 0.0001 would indicate an expected return of one basis point per
day.
- Daily Sigma. This is the standard deviation of the daily return, also measured as a fraction. So, for example, an entry of 0.0015 would indicate a standard deviation of fifteen basis points per day.
The Securities Worksheet
Figure 6: The Securities Worksheet.
The Securities worksheet controls the number of securities (other than cash and loans) used in the simulation, and various parameters for each security. The number of securities is controlled by the buttons at the top left of the Security Data pane, and the parameters pertaining to each security are contained in the table.
The entries in the first column in the table determine the price of the corresponding security at the start of the simulation. The second column is the average daily trading volume, before simulation. The third and fourth columns control each security’s daily alpha and daily idiosyncratic risk. The last columns control each security’s beta with respect to each factor.
The Statisticians Worksheet
Figure 7: The Statisticians Worksheet.
The Statisticians worksheet, as shown in Figure 7, controls the number of statisticians and the following parameters for each statistician:
1. Method. The entry in this field determines the method that the
corresponding statistician uses to estimate expected returns. At present, the
following two methods are permitted:
| HIST | indicates that the statistician uses historical average return to estimate expected returns. |
| RPS_C | indicates that a constant number of dollars returned per share is used to estimate expected returns. Expected return per dollar invested is this number divided by price. RPS_C stands for “Returns Per Share: constant.” |
2. RetFreq. This row and the following one are used only if the statistician uses the
HIST method of
expected return estimation. Numbers must appear in these two fields, even if
the statistician does not use the
HIST method.
The entry in this field determines the frequency of observation that the
corresponding statistician uses when estimating expected returns. At present,
the following two frequencies are permitted:
| dd | indicating daily observation, and |
| mm | indicating monthly observation |
3. RetNum. The entry in this field determines the number of observations that the corresponding statistician uses when estimating expected returns. For example, a 60 in this field and an mm in the preceding field indicate that the statistician uses 60 months of data.
4. CovFreq. This row and the following one are analogous to the previous two rows, but
relate to the estimation of covariances rather than returns. Again, they are
used only if the statistician uses the
HIST method of
expected return estimation, but numbers must appear in these two fields, even if
the statistician does not use the
HIST method.
The entry in this field determines the frequency of observation that the
corresponding statistician uses when estimating covariances of returns. At
present, the following two frequencies are permitted:
| dd | indicating daily observation, and |
| mm | indicating monthly observation |
5. CovNum. The entry in this field determines the number of observations that the corresponding statistician uses when estimating covariances of returns.
6. Sec0 – Sec15. The remaining rows in the table are used only if the method of estimation is specified as RPS_C. In this case, an entry in any one of these fields specifies the constant number of dollars that the statistician uses in estimating the return of the corresponding security. For example, an entry of “10” with a corresponding security price of $200 would indicate an expected return of 0.05 (i.e., a 5 percent return per dollar invested).
The Analysts Worksheet
Figure 8: The Analysts Worksheet.
The Analysts worksheet, as shown in Figure 8, controls the number of analysts used in the simulation, as well as the following parameters for each analyst:
1. Statistician Used. The entry in this field is the reference number of the statistician (as defined in the Statisticians worksheet) that the corresponding analyst uses for obtaining estimates of returns, variances, and covariances.
2. max(L + abs(S)). The entry in this field defines the upper bound on the leverage that the corresponding analyst may use when computing the efficient frontier. The upper bound actually used in the computation of the efficient frontier will be the smaller of the number presented here and the global “Max Initial” presented in the Financing worksheet.
3. Clients Can Short. A “Y” in this entry indicates that the clients of the corresponding analyst are allowed to sell securities short. An “N” indicates that they may not.
The Investors Worksheet
Figure 9: The Investors Worksheet.
Each investor is “stamped out” from one or another Investor Template. The Investors worksheet, as shown in Figure 9, controls the number of Investor Templates and the following parameters pertaining to each:
1. Number of Investors. The entry in this field determines how many investors there are of the corresponding Investor Template.
2. Reoptimization Frequency. The entry in this field determines how frequently
investors of this Investor Template reoptimize. At present, permitted
frequencies are as follows:
| dd | indicating daily reoptimization, and |
| mm | indicating monthly reoptimization, |
| indicating quarterly reoptimization, and | |
| yy | indicating annual reoptimization. |
3. Analyst Used. The entry in this field determines which analyst (as defined in the Analysts worksheet) the corresponding Investor Template uses.
4. Trader Used. The entry in this field determines which trader (as defined in the Traders worksheet) the corresponding Investor Template uses.
5. Risk Aversion. The Investor Template selects a portfolio that maximizes E-kV, where E is the expected portfolio return, V is the variance of the portfolio’s return, and k is the Investor Template’s risk aversion. The entry in this field is the Investor Template’s risk aversion.
6. mean(log10(starting wealth)). The program assumes that initial wealth of each investor in a particular Investor Template is drawn from a log-normal distribution. The entry in this field is the mean value of the corresponding distribution.
7. sigma(log10(starting wealth)). The program assumes that initial wealth of each investor in a particular Investor Template is drawn from a log-normal distribution. The entry in this field is the standard deviation of the corresponding distribution.
8. Probability. This and the following two rows pertain to random deposits and withdrawals when the investor reoptimizes. The entry in this field is the probability that a deposit will occur as of any reoptimization. To suppress random deposits and withdrawals, this entry should be set to zero.
9. Lower Edge. Money flows for each Investor Template are drawn randomly from a uniform distribution. If a draw is negative, the flow is interpreted as a withdrawal, and if it is positive, it is interpreted as a deposit. The entry in this field is the lower edge of the probability distribution, as a fraction of investor equity.
10. Upper Edge. The entry in this field is the upper edge of the uniform probability distribution from which money flows are drawn, as a fraction of investor equity.
11. Increment. Possibly an investor will borrow to pay a withdrawal if there is not enough cash available. The entry in this field determines the maximum value of the leverage permitted to finance a withdrawal, for this and other existing purposes. If a withdrawal cannot be paid out of cash or borrowing, it becomes a “withdrawal due” and will be paid when cash or borrowing capacity permits.
12. Maximum Buy. This row, and the two following ones, present parameters that reduce account turnover. The trades initiated after a reoptimization will attempt to move the investor in a straight line from current portfolio to desired portfolio, and the investor will attempt to move along this line as far as possible without violating any of the constraints defined by the entry in this and the following two rows. The entry in the “Maximum Buy” field defines the maximum amount of purchases as a fraction of the portfolio. For example, an entry of 0.10 indicates that, as of any reoptimization, the investor may not purchase a total amount greater than 10 percent of the equity of the portfolio.
13. Maximum Sell (normal). The entry in this field defines the maximum total sales as a percentage of the portfolio if the investor’s situation is not urgent. The situation is considered urgent if there are withdrawals due or if it exceeds the portfolio analyst’s policy parameter. For example, 0.03 indicates that investors will not sell an amount greater than 3 percent of the equity in their portfolio, normally.
14. Maximum Sell (urgent). The entry in this field defines the maximum sale per reoptimization if the investor’s situation is urgent.
15. Temporary Extra Leverage. When a reoptimization calls for both purchases or short sales, on the one hand, and sales or cover actions on the other, purchase or short sale orders are not placed if their execution only (without execution of any sales or cover orders) would be too large, where too large is defined to be the limit used in the optimization plus the temporary extra leverage specified in the entry in this field.
16. Trace Fraction. The entry in this field defines, for each Investor Template, how many investors will be followed in the Trace file. The Trace file tends to be very large, even when very few investors are traced per template. A value of “N” in this field indicates that one out of every N investors of the template is to be traced. For example, a value of 1000 indicates that one out of every thousand investors will be traced in the Trace file. A value of “–1” indicates that this feature should be ignored.
17. Trace Wealthiest Number. A number of “N” in this field indicates that if an investor’s initial wealth is ranked within the wealthiest N investors, the investor will be traced whether or not it was selected by the “Trace Fraction” feature. A value of “–1” indicates that this feature should be ignored.
The Traders Worksheet
Figure 10: The Traders Worksheet.
The Traders worksheet, as shown in Figure 10, controls the number of Trader Templates, and parameters relating to each. The attributes of the Trader Template describe parameters used in the trading strategy of its traders. The last Trader Template, labeled LiqTrad in the worksheet, contains the trading strategy parameters for the “liquidation trader” who liquidates the investor’s account as needed to pay off the debt to the broker if there is a margin call; that is, if the maintenance margin requirement is violated.
The table in the worksheet presents parameters used in placing or revising bids and offers by traders of the particular Trader Template. The Traders worksheet defines the following parameters for each Trader Template:
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Buy Alpha. An initial bid is placed at alpha plus beta times the current price. The entry in this field defines the value of alpha for the corresponding Trader Template.
-
Buy Alpha Increment. If a purchase is not completed in a timely fashion, then orders are reviewed and an alpha increment, as defined by the entry in this field, is added to alpha.
-
Buy Beta. An initial bid is placed at alpha plus beta times the current price. The entry in this field defines the value of beta for the corresponding Trader Template.
-
Buy Beta Increment. If a purchase is not completed in a timely fashion, then orders are reviewed and a beta increment, as defined by the entry in this field, is added to beta.
-
Buy Review, Wait First. Entries in this and the following two fields define the length of time that the trader waits before revising a bid. The entry in the current field indicates the first wait, in days.
-
Buy Review, Wait Then. The entry in this field indicates the length of each subsequent wait, other than the last wait.
-
Buy Review, Wait Last. The entry in this field indicates how long to wait after the last change of bid before canceling the order.
-
Buy Max Changes. The entry in this field is the maximum number of times that bids are to be revised.
-
Sell Alpha. An initial offer is placed at alpha plus beta times the current price. The entry in this field defines the value of alpha for the corresponding Trader Template.
-
Sell Alpha Increment. If a sale is not completed in a timely fashion, then orders are reviewed and an alpha increment, as defined by the entry in this field, is added to alpha.
-
Sell Beta. An initial offer is placed at alpha plus beta times the current price. The entry in this field defines the value of beta for the corresponding Trader Template.
-
Sell Beta Increment. If a sale is not completed in a timely fashion, then orders are reviewed and a beta increment, as defined by the entry in this field, is added to beta.
-
Sell Review, Wait First. Entries in this and the following two fields define the length of time that the trader waits before revising an offer. The entry in the current field indicates the first wait, in days.
-
Sell Review, Wait Then. The entry in this field indicates the length of each subsequent wait, other than the last wait.
-
Sell Review, Wait Last. The entry in this field indicates how long to wait after the last change of offer before canceling the order.
-
Sell Max Changes. The entry in this field is the maximum number of times that offers are to be revised.
-
Recent. The entries in this and the following four rows contain parameters for bid/offer rules that override the preceding ones. The trader follows the bid or offer strategy described in the entries above until it conflicts with the rules described in the entries below, in which case the latter are used. The rules below ensure that the trader will not bid or offer at a price that is too far from recent prices. The entry in the “Recent” field indicates how many days are to be considered to be recent.
-
Max Bid Rule. The entry in this field is a code specifying a maximum bid rule. The permitted values of the code are:
0
Do not bid more than the maximum recent price plus P percent.
1
Do not bid more than the average recent price plus P times recent standard deviations.
2
Do not bid more than the average recent price plus P percent.
-
Max Bid Parameter. The entry in this field presents, for each Trader Template, the P parameter used in the maximum bid rule. The interpretation of this parameter is specified by the rule.
-
Min Offer Rule. The entry in this field is a code specifying the minimum offer rule. Possible values of this code are:
0
Do not offer less than the minimum recent price minus P percent.
1
Do not offer less than the average recent price minus P standard deviations.
2
Do not offer less than the average recent price minus P percent.
-
Min Offer Parameter. The entry in this field presents, for each Trader Template, the P parameter used in the minimum offer rule. The interpretation of this parameter is specified by the rule.
Appendix: Contents of a Typical Template File.
JLMSIM INPUT FILE (.jlm format)
Description :
NrS16NrIT8_1000_50_200NL
Random Seed : -1
Simulation Length : 4000
Can only short on uptick : Y
Short rebate fraction : 0.25
Number of Days Data Kept for statisticians : 500
Number of Months Data Kept for statisticians : 100
Days before starting Order Impact Analysis : 100
Data is exogenous or endogenous : N
Max Initial Sum of Long + |Short| : 2
Max Mark-to-Market Sum of Long + |Short| : 4
Initial ("Annual") Broker Rate (broker charges) : 0.06
Initial ("Annual") Riskfree Rate (broker pays) : 0.03
Increase Rates if total debt exceeds : 10000000000
Decrease Rates if total debt is less than : 0
Broker Rate Delta ("Annual") : 0.0025
Riskfree Rate Delta ("Annual") : 0.00125
Do
not reduce rates before day : 300
Do
not increase rates before day : 300
Small Purchase Slack : 1000
Number of Factors : 2
-
Factor 0 mean daily return : 0
-
Factor 0 standard deviation of daily return : 0.0015
-
Factor 1 mean daily return : 0
-
Factor 1 standard deviation of daily return : 0.00075
Number of Securities : 16
-
Security 0 Initial Price : 200
-
Security 0 Average Daily Volume : 10000
-
Security 0 Daily Alpha : 0.00026
-
Security 0 Daily Sigma : 0.0015
-
- Security 0 Beta 0 : 0.9
-
- Security 0 Beta 1 : 1.2
-
Security 1 Initial Price : 200
-
Security 1 Average Daily Volume : 10000
-
Security 1 Daily Alpha : 0.0003
-
Security 1 Daily Sigma : 0.003
-
- Security 1 Beta 0 : 1.1
-
- Security 1 Beta 1 : 1.3
-
Security 2 Initial Price : 200
-
Security 2 Average Daily Volume : 10000
-
Security 2 Daily Alpha : 0.00026
-
Security 2 Daily Sigma : 0.0015
-
- Security 2 Beta 0 : 0.9
-
- Security 2 Beta 1 : 1.2
-
Security 3 Initial Price : 200
-
Security 3 Average Daily Volume : 10000
-
Security 3 Daily Alpha : 0.0003
-
Security 3 Daily Sigma : 0.003
-
- Security 3 Beta 0 : 1.1
-
- Security 3 Beta 1 : 1.3
-
Security 4 Initial Price : 200
-
Security 4 Average Daily Volume : 10000
-
Security 4 Daily Alpha : 0.00026
-
Security 4 Daily Sigma : 0.0015
-
- Security 4 Beta 0 : 0.9
-
- Security 4 Beta 1 : 1.2
-
Security 5 Initial Price : 200
-
Security 5 Average Daily Volume : 10000
-
Security 5 Daily Alpha : 0.0003
-
Security 5 Daily Sigma : 0.003
-
- Security 5 Beta 0 : 1.1
-
- Security 5 Beta 1 : 1.3
-
Security 6 Initial Price : 200
-
Security 6 Average Daily Volume : 10000
-
Security 6 Daily Alpha : 0.00026
-
Security 6 Daily Sigma : 0.0015
-
- Security 6 Beta 0 : 0.9
-
- Security 6 Beta 1 : 1.2
-
Security 7 Initial Price : 200
-
Security 7 Average Daily Volume : 10000
-
Security 7 Daily Alpha : 0.0003
-
Security 7 Daily Sigma : 0.003
-
- Security 7 Beta 0 : 1.1
-
- Security 7 Beta 1 : 1.3
-
Security 8 Initial Price : 200
-
Security 8 Average Daily Volume : 10000
-
Security 8 Daily Alpha : 0.00026
-
Security 8 Daily Sigma : 0.0015
-
- Security 8 Beta 0 : 0.9
-
- Security 8 Beta 1 : 1.2
-
Security 9 Initial Price : 200
-
Security 9 Average Daily Volume : 10000
-
Security 9 Daily Alpha : 0.0003
-
Security 9 Daily Sigma : 0.003
-
- Security 9 Beta 0 : 1.1
-
- Security 9 Beta 1 : 1.3
-
Security 10 Initial Price : 200
-
Security 10 Average Daily Volume : 10000
-
Security 10 Daily Alpha : 0.00026
-
Security 10 Daily Sigma : 0.0015
-
- Security 10 Beta 0 : 0.9
-
- Security 10 Beta 1 : 1.2
-
Security 11 Initial Price : 200
-
Security 11 Average Daily Volume : 10000
-
Security 11 Daily Alpha : 0.0003
-
Security 11 Daily Sigma : 0.003
-
- Security 11 Beta 0 : 1.1
-
- Security 11 Beta 1 : 1.3
-
Security 12 Initial Price : 200
-
Security 12 Average Daily Volume : 10000
-
Security 12 Daily Alpha : 0.00026
-
Security 12 Daily Sigma : 0.0015
-
- Security 12 Beta 0 : 0.9
-
- Security 12 Beta 1 : 1.2
-
Security 13 Initial Price : 200
-
Security 13 Average Daily Volume : 10000
-
Security 13 Daily Alpha : 0.0003
-
Security 13 Daily Sigma : 0.003
-
- Security 13 Beta 0 : 1.1
-
- Security 13 Beta 1 : 1.3
-
Security 14 Initial Price : 200
-
Security 14 Average Daily Volume : 10000
-
Security 14 Daily Alpha : 0.00026
-
Security 14 Daily Sigma : 0.0015
-
- Security 14 Beta 0 : 0.9
-
- Security 14 Beta 1 : 1.2
-
Security 15 Initial Price : 200
-
Security 15 Average Daily Volume : 10000
-
Security 15 Daily Alpha : 0.0003
-
Security 15 Daily Sigma : 0.003
-
- Security 15 Beta 0 : 1.1
-
- Security 15 Beta 1 : 1.3
Number of Statisticians : 4
-
Statistician 0 Method : RPS_C
-
Statistician 0 Frequency for Expected Values : mm
-
Statistician 0 Number for Expected Values : 90
-
Statistician 0 Frequency for Covariances : dd
-
Statistician 0 Number for Covariances : 250
-
- Statistician 0 Security 0 Expected Return : 10
-
- Statistician 0 Security 1 Expected Return : 25
-
- Statistician 0 Security 2 Expected Return : 10
-
- Statistician 0 Security 3 Expected Return : 25
-
- Statistician 0 Security 4 Expected Return : 10
-
- Statistician 0 Security 5 Expected Return : 25
-
- Statistician 0 Security 6 Expected Return : 10
-
- Statistician 0 Security 7 Expected Return : 25
-
- Statistician 0 Security 8 Expected Return : 10
-
- Statistician 0 Security 9 Expected Return : 25
-
- Statistician 0 Security 10 Expected Return : 10
-
- Statistician 0 Security 11 Expected Return : 25
-
- Statistician 0 Security 12 Expected Return : 10
-
- Statistician 0 Security 13 Expected Return : 25
-
- Statistician 0 Security 14 Expected Return : 10
-
- Statistician 0 Security 15 Expected Return : 25
-
Statistician 1 Method : RPS_C
-
Statistician 1 Frequency for Expected Values : mm
-
Statistician 1 Number for Expected Values : 60
-
Statistician 1 Frequency for Covariances : mm
-
Statistician 1 Number for Covariances : 60
-
- Statistician 1 Security 0 Expected Return : 15
-
- Statistician 1 Security 1 Expected Return : 20
-
- Statistician 1 Security 2 Expected Return : 15
-
- Statistician 1 Security 3 Expected Return : 20
-
- Statistician 1 Security 4 Expected Return : 15
-
- Statistician 1 Security 5 Expected Return : 20
-
- Statistician 1 Security 6 Expected Return : 15
-
- Statistician 1 Security 7 Expected Return : 20
-
- Statistician 1 Security 8 Expected Return : 15
-
- Statistician 1 Security 9 Expected Return : 20
-
- Statistician 1 Security 10 Expected Return : 15
-
- Statistician 1 Security 11 Expected Return : 20
-
- Statistician 1 Security 12 Expected Return : 15
-
- Statistician 1 Security 13 Expected Return : 20
-
- Statistician 1 Security 14 Expected Return : 15
-
- Statistician 1 Security 15 Expected Return : 20
-
Statistician 2 Method : HIST
-
Statistician 2 Frequency for Expected Values : mm
-
Statistician 2 Number for Expected Values : 90
-
Statistician 2 Frequency for Covariances : dd
-
Statistician 2 Number for Covariances : 250
-
- Statistician 2 Security 0 Expected Return : 10
-
- Statistician 2 Security 1 Expected Return : 25
-
- Statistician 2 Security 2 Expected Return : 10
-
- Statistician 2 Security 3 Expected Return : 25
-
- Statistician 2 Security 4 Expected Return : 10
-
- Statistician 2 Security 5 Expected Return : 25
-
- Statistician 2 Security 6 Expected Return : 10
-
- Statistician 2 Security 7 Expected Return : 25
-
- Statistician 2 Security 8 Expected Return : 10
-
- Statistician 2 Security 9 Expected Return : 25
-
- Statistician 2 Security 10 Expected Return : 10
-
- Statistician 2 Security 11 Expected Return : 25
-
- Statistician 2 Security 12 Expected Return : 10
-
- Statistician 2 Security 13 Expected Return : 25
-
- Statistician 2 Security 14 Expected Return : 10
-
- Statistician 2 Security 15 Expected Return : 25
-
Statistician 3 Method : HIST
-
Statistician 3 Frequency for Expected Values : mm
-
Statistician 3 Number for Expected Values : 60
-
Statistician 3 Frequency for Covariances : mm
-
Statistician 3 Number for Covariances : 60
-
- Statistician 3 Security 0 Expected Return : 15
-
- Statistician 3 Security 1 Expected Return : 20
-
- Statistician 3 Security 2 Expected Return : 15
-
- Statistician 3 Security 3 Expected Return : 20
-
- Statistician 3 Security 4 Expected Return : 15
-
- Statistician 3 Security 5 Expected Return : 20
-
- Statistician 3 Security 6 Expected Return : 15
-
- Statistician 3 Security 7 Expected Return : 20
-
- Statistician 3 Security 8 Expected Return : 15
-
- Statistician 3 Security 9 Expected Return : 20
-
- Statistician 3 Security 10 Expected Return : 15
-
- Statistician 3 Security 11 Expected Return : 20
-
- Statistician 3 Security 12 Expected Return : 15
-
- Statistician 3 Security 13 Expected Return : 20
-
- Statistician 3 Security 14 Expected Return : 15
-
- Statistician 3 Security 15 Expected Return : 20
Number of Analysts : 4
-
Analyst 0 Statistician used : 0
-
Analyst 0 Upper Bound on Long + |Short| : 1.5
-
Analyst 0 Clients Can Short : Y
-
Analyst 1 Statistician used : 1
-
Analyst 1 Upper Bound on Long + |Short| : 1.5
-
Analyst 1 Clients Can Short : Y
-
Analyst 2 Statistician used : 2
-
Analyst 2 Upper Bound on Long + |Short| : 1.5
-
Analyst 2 Clients Can Short : Y
-
Analyst 3 Statistician used : 3
-
Analyst 3 Upper Bound on Long + |Short| : 1.5
-
Analyst 3 Clients Can Short : Y
Number of Investor Templates : 8
-
Investor Template 0 Number of Investors : 1000
-
Investor Template 0 Reoptimization Frequency : dd
-
Investor Template 0 Analyst Used : 0
-
Investor Template 0 Trader Used : 0
-
Investor Template 0 Risk Aversion Parameter : 3
-
Investor Template 0 mean(log10(initial wealth)) : 5
-
Investor Template 0 std(log10(initial wealth)) : 1
-
Investor Template 0 Probability of deposit/withdrawal : 0.5
-
Investor Template 0 Lower edge of distribution : -0.02
-
Investor Template 0 Upper edge of distribution : 0.0205
-
Investor Template 0 Increase L+|S| for withdrawal : 1.5
-
Investor Template 0 Maximum Buy : 0.1
-
Investor Template 0 Maximum Sell (normal) : 0.03
-
Investor Template 0 Maximum Sell (urgent) : 0.1
-
Investor Template 0 Temporary Extra Leverage : 0
-
Investor Template 0 Trace Fraction : -1
-
Investor Template 0 Trace Wealthiest : 1
-
Investor Template 1 Number of Investors : 1000
-
Investor Template 1 Reoptimization Frequency : mm
-
Investor Template 1 Analyst Used : 0
-
Investor Template 1 Trader Used : 1
-
Investor Template 1 Risk Aversion Parameter : 2
-
Investor Template 1 mean(log10(initial wealth)) : 5
-
Investor Template 1 std(log10(initial wealth)) : 1
-
Investor Template 1 Probability of deposit/withdrawal : 0.9
-
Investor Template 1 Lower edge of distribution : -0.04
-
Investor Template 1 Upper edge of distribution : 0.045
-
Investor Template 1 Increase L+|S| for withdrawal : 1.5
-
Investor Template 1 Maximum Buy : 0.5
-
Investor Template 1 Maximum Sell (normal) : 0.1
-
Investor Template 1 Maximum Sell (urgent) : 0.3
-
Investor Template 1 Temporary Extra Leverage : 0
-
Investor Template 1 Trace Fraction : -1
-
Investor Template 1 Trace Wealthiest : 20
-
Investor Template 2 Number of Investors : 1000
-
Investor Template 2 Reoptimization Frequency : qq
-
Investor Template 2 Analyst Used : 1
-
Investor Template 2 Trader Used : 1
-
Investor Template 2 Risk Aversion Parameter : 2
-
Investor Template 2 mean(log10(initial wealth)) : 5
-
Investor Template 2 std(log10(initial wealth)) : 1
-
Investor Template 2 Probability of deposit/withdrawal : 0.25
-
Investor Template 2 Lower edge of distribution : -0.1
-
Investor Template 2 Upper edge of distribution : 0.15
-
Investor Template 2 Increase L+|S| for withdrawal : 1.5
-
Investor Template 2 Maximum Buy : 0.75
-
Investor Template 2 Maximum Sell (normal) : 0.25
-
Investor Template 2 Maximum Sell (urgent) : 0.75
-
Investor Template 2 Temporary Extra Leverage : 0
-
Investor Template 2 Trace Fraction : -1
-
Investor Template 2 Trace Wealthiest : 60
-
Investor Template 3 Number of Investors : 1000
-
Investor Template 3 Reoptimization Frequency : dd
-
Investor Template 3 Analyst Used : 1
-
Investor Template 3 Trader Used : 1
-
Investor Template 3 Risk Aversion Parameter : 4
-
Investor Template 3 mean(log10(initial wealth)) : 5
-
Investor Template 3 std(log10(initial wealth)) : 1
-
Investor Template 3 Probability of deposit/withdrawal : 0.5
-
Investor Template 3 Lower edge of distribution : -0.02
-
Investor Template 3 Upper edge of distribution : 0.0205
-
Investor Template 3 Increase L+|S| for withdrawal : 1.5
-
Investor Template 3 Maximum Buy : 0.1
-
Investor Template 3 Maximum Sell (normal) : 0.03
-
Investor Template 3 Maximum Sell (urgent) : 0.1
-
Investor Template 3 Temporary Extra Leverage : 0
-
Investor Template 3 Trace Fraction : -1
-
Investor Template 3 Trace Wealthiest : 1
-
Investor Template 4 Number of Investors : 50
-
Investor Template 4 Reoptimization Frequency : dd
-
Investor Template 4 Analyst Used : 2
-
Investor Template 4 Trader Used : 0
-
Investor Template 4 Risk Aversion Parameter : 3
-
Investor Template 4 mean(log10(initial wealth)) : 5
-
Investor Template 4 std(log10(initial wealth)) : 1
-
Investor Template 4 Probability of deposit/withdrawal : 0.5
-
Investor Template 4 Lower edge of distribution : -0.02
-
Investor Template 4 Upper edge of distribution : 0.0205
-
Investor Template 4 Increase L+|S| for withdrawal : 1.5
-
Investor Template 4 Maximum Buy : 0.1
-
Investor Template 4 Maximum Sell (normal) : 0.03
-
Investor Template 4 Maximum Sell (urgent) : 0.1
-
Investor Template 4 Temporary Extra Leverage : 0
-
Investor Template 4 Trace Fraction : -1
-
Investor Template 4 Trace Wealthiest : 1
-
Investor Template 5 Number of Investors : 50
-
Investor Template 5 Reoptimization Frequency : mm
-
Investor Template 5 Analyst Used : 2
-
Investor Template 5 Trader Used : 1
-
Investor Template 5 Risk Aversion Parameter : 2
-
Investor Template 5 mean(log10(initial wealth)) : 5
-
Investor Template 5 std(log10(initial wealth)) : 1
-
Investor Template 5 Probability of deposit/withdrawal : 0.9
-
Investor Template 5 Lower edge of distribution : -0.04
-
Investor Template 5 Upper edge of distribution : 0.045
-
Investor Template 5 Increase L+|S| for withdrawal : 1.5
-
Investor Template 5 Maximum Buy : 0.5
-
Investor Template 5 Maximum Sell (normal) : 0.1
-
Investor Template 5 Maximum Sell (urgent) : 0.3
-
Investor Template 5 Temporary Extra Leverage : 0
-
Investor Template 5 Trace Fraction : -1
-
Investor Template 5 Trace Wealthiest : 20
-
Investor Template 6 Number of Investors : 50
-
Investor Template 6 Reoptimization Frequency : qq
-
Investor Template 6 Analyst Used : 3
-
Investor Template 6 Trader Used : 1
-
Investor Template 6 Risk Aversion Parameter : 2
-
Investor Template 6 mean(log10(initial wealth)) : 5
-
Investor Template 6 std(log10(initial wealth)) : 1
-
Investor Template 6 Probability of deposit/withdrawal : 0.25
-
Investor Template 6 Lower edge of distribution : -0.1
-
Investor Template 6 Upper edge of distribution : 0.15
-
Investor Template 6 Increase L+|S| for withdrawal : 1.5
-
Investor Template 6 Maximum Buy : 0.75
-
Investor Template 6 Maximum Sell (normal) : 0.25
-
Investor Template 6 Maximum Sell (urgent) : 0.75
-
Investor Template 6 Temporary Extra Leverage : 0
-
Investor Template 6 Trace Fraction : -1
-
Investor Template 6 Trace Wealthiest : 60
-
Investor Template 7 Number of Investors : 50
-
Investor Template 7 Reoptimization Frequency : dd
-
Investor Template 7 Analyst Used : 3
-
Investor Template 7 Trader Used : 1
-
Investor Template 7 Risk Aversion Parameter : 4
-
Investor Template 7 mean(log10(initial wealth)) : 5
-
Investor Template 7 std(log10(initial wealth)) : 1
-
Investor Template 7 Probability of deposit/withdrawal : 0.5
-
Investor Template 7 Lower edge of distribution : -0.02
-
Investor Template 7 Upper edge of distribution : 0.0205
-
Investor Template 7 Increase L+|S| for withdrawal : 1.5
-
Investor Template 7 Maximum Buy : 0.1
-
Investor Template 7 Maximum Sell (normal) : 0.03
-
Investor Template 7 Maximum Sell (urgent) : 0.1
-
Investor Template 7 Temporary Extra Leverage : 0
-
Investor Template 7 Trace Fraction : -1
-
Investor Template 7 Trace Wealthiest : 1
Number of Trader Templates : 3
-
Trader Template 0 Buy Alpha : 0
-
Trader Template 0 Buy Alpha Increment : 0
-
Trader Template 0 Buy Beta : 0.98
-
Trader Template 0 Buy Beta Increment : 0.01
-
Trader Template 0 Buy Review, Wait First : 0.2
-
Trader Template 0 Buy Review, Wait Then : 0.3
-
Trader Template 0 Buy Review, Wait Last : 5
-
Trader Template 0 Buy Max Changes : 6
-
Trader Template 0 Sell Alpha : 0
-
Trader Template 0 Sell Alpha Increment : 0
-
Trader Template 0 Sell Beta : 1.02
-
Trader Template 0 Sell Beta Increment :
-0.01
-
Trader Template 0 Sell Review, Wait First : 0.2
-
Trader Template 0 Sell Review, Wait Then : 0.3
-
Trader Template 0 Sell Review, Wait Last : 5
-
Trader Template 0 Sell Max Changes : 6
-
Trader Template 0 Recent : 10
-
Trader Template 0 Max Bid Rule : 2
-
Trader Template 0 Max Bid Parameter : 5
-
Trader Template 0 Min Offer Rule : 2
-
Trader Template 0 Min Offer Parameter : 5
-
Trader Template 1 Buy Alpha : 0
-
Trader Template 1 Buy Alpha Increment : 0
-
Trader Template 1 Buy Beta : 1
-
Trader Template 1 Buy Beta Increment : 0.01
-
Trader Template 1 Buy Review, Wait First : 0.2
-
Trader Template 1 Buy Review, Wait Then : 0.3
-
Trader Template 1 Buy Review, Wait Last : 3
-
Trader Template 1 Buy Max Changes : 10
-
Trader Template 1 Sell Alpha : 0
-
Trader Template 1 Sell Alpha Increment : 0
-
Trader Template 1 Sell Beta : 1
-
Trader Template 1 Sell Beta Increment : -0.01
-
Trader Template 1 Sell Review, Wait First : 0.2
-
Trader Template 1 Sell Review, Wait Then : 0.3
-
Trader Template 1 Sell Review, Wait Last : 3
-
Trader Template 1 Sell Max Changes : 10
-
Trader Template 1 Recent : 10
-
Trader Template 1 Max Bid Rule : 2
-
Trader Template 1 Max Bid Parameter : 5
-
Trader Template 1 Min Offer Rule : 2
-
Trader Template 1 Min Offer Parameter : 5
-
Trader Template 2 Buy Alpha : 0
-
Trader Template 2 Buy Alpha Increment : 0
-
Trader Template 2 Buy Beta : 1
-
Trader Template 2 Buy Beta Increment : 0.01
-
Trader Template 2 Buy Review, Wait First : 0.2
-
Trader Template 2 Buy Review, Wait Then : 0.3
-
Trader Template 2 Buy Review, Wait Last : 4000
-
Trader Template 2 Buy Max Changes :
2000
-
Trader Template 2 Sell Alpha : 0
-
Trader Template 2 Sell Alpha Increment : 0
-
Trader Template 2 Sell Beta : 0.99
-
Trader Template 2 Sell Beta Increment : -0.01
-
Trader Template 2 Sell Review, Wait First : 0.2
-
Trader Templat