JLMSim: Case Studies
The case study presented here is provided as an example of the
how the JLM Simulator can be used to test the sensitivities of various market
assumptions. The case study is briefly summarized on this
page. A link to the full case results is provided, as well as a link to
the original JLMSim input file that was used to generate the case results. We
hope that this case will provide additional insight into the model’s
behavior and inspire others to generate their own test cases.
You are invited to submit a case study to be published on this page. To do so,
send an email to
JLM_Sim@jacobslevy.com with your name, contact information and a one-paragraph
summary of your case. Attach a PDF document with the full text of the case study
and the JLMSim input file you used to run your case. If you can't create a PDF
file, please attach a Word document and an Excel file with any graphs you want to
include, and we will create the PDF file. After review, your
case study will be added here.
submitted by Bruce Jacobs, Ken Levy, and Harry Markowitz, June 30, 2005, Ver. M23a
This case study compares JLMSim output from the base case (as described in the JLMSim documentation) to output generated from JLMSim using identical input parameters, but differing initial random seeds. It also compares outputs obtained with different ratios of value (RPS_C) investors to momentum (HIST) investors. case, input files