JLM Simulator Documentation

JLMSim: Daily Reports Output Description
 

One of the output files produced by the run with input to be found now in

JLMSimInput for Case M23a NrS16NrIT8_1000_50_200NL -1.txt

is

Daily Reports for Case M23a NrS16NrIT8_1000_50_200NL -1.xls

This is the .xls, slightly reformatted, version of a .csv output file.

When the case was run, the input file was named JLMSimInput.txt and was located in the same file as the JLMSim program. JLMSim produced a "carbon copy" of this input file, naming the copy as above with the case description. (See  Input File Documentation.) It is recommended that the researcher use Excel facilities to format the Case…csv file and graph output of particular interest before presenting the results to general audiences. An example of such a reformatted file is presented in the xls file named above.

The present file describes the columns of the Daily Reports for Case…csv file and some recommended formatting to transform it to a more easily read .xls file. Alternatively, you may want to use the Output GUI program that is available in the JLMSimulator Program Group to create price and volume charts and to generate the .xls file automatically. Output GUI provides a quick and easy way to view the general results of a simulation and creates price and volume charts for individual securities as well as the market index. More detailed documentation can be found here: Output GUI Documentation

Let NrS here represent the number of securities in the case. The first NrS + 1 columns of the Case…xls file contain day numbers and security prices, thus: 

...

For working with this file, it is recommended that the window be frozen (click Window|Freeze Panes) with the cursor at the Day 1/Price[0] cell. This will keep day numbers and headings visible as you move around the file. It is also recommended that NrS columns of price data be formatted to two decimal places as shown above (click Format|Cells select the Number tab, then click Number and OK).

Day number 1 in the printout is the first simulated day, referred to as day 0 within the simulation. The prices shown are end-of-day prices. Thus Price[1] is 208.12 at the end of the day, though it was 200.00 at the start of the day.

You will probably want a plot of prices. To obtain one, "select" the entire price table including column headings by doing the following: Click the heading Price[0]; now hold down the shift key and click the last data entry for the last price. The entire table including its column headings should turn blue, indicating that it is selected. Now click Insert|Chart. Under Chart Type select Line. Click Next, and you will see a preview of your chart. Click Next again and you will be provided with the opportunity to label the horizontal and vertical axes and supply one line of chart title. Supply these and click Next. You will be offered the opportunity to have the chart created as an object or on a worksheet of its own. Select the latter and supply a name for the worksheet. Then click Finish. To add lines to the chart title, click on the chart title in the actual chart. A rectangle will appear around the title, and you can edit the chart title. Here is a link to a sample plot of Daily Prices:




The next two columns of output present equal-weighted (EW) and capitalization-weighted (CW) indices of security prices; e.g.,

 

Instructions for formatting these two columns, as above, and for obtaining a plot of them, are the same as for the individual price series.

The next NrS columns of output show volumes for each day. The following column displays total daily volume. After reformatting they appear in the Daily Reports for Case...xls file thus:

The Daily Reports for Case…csv file does not include commas in its numbers. We recommend reformatting the spreadsheet to include commas. To do this, select the numbers in question by clicking on the upper left-most number, holding down the shift key and clicking on the lower right-most number. Click on Format|Cells. On the Number tab, under Category select Custom, then under Type select #,##0. Click OK.

The zero volumes shown above, at the beginning of the run, for securities numbered 0, 2, 4, … reflect the fact that their initial prices are out of line. The "anchoring rules" used in the simulator (as described in the documentation of the input file) prevent prices from moving instantly to equilibrium levels. Substantial trading in these even-numbered securities has started by about day 15. 

You can create a plot of Daily Volume in a similar fashion as described above for Daily Prices. Here is a sample Daily Volume chart:



The next (3 times NrS) columns describe the Buy Book, i.e. outstanding purchase limit orders; the following (3 times NrS) columns describe the Sell Book, thus:

If the pane was frozen as recommended previously, day numbers would appear on the left as you examine these Buy Book and Sell Book numbers. The first row of numbers under the Buy Book heading summarizes the state of outstanding purchase limit orders for each security at the end of the first day. Three items of information are given for each security. The first is the number of purchase limit orders outstanding as of the end of the day. This item is labeled "Size." This refers to the "size" of (number of orders in) the set of purchase orders. It is not the sum of the sizes of the orders therein. The second and third items provided for each security are the values of the lowest and highest bid outstanding. If the set of outstanding limit orders is empty, Low and Hi bid appear either as 0.00 or as some meaningless combination of characters (1.#J or -1.#J).

Similar information is supplied concerning the Sell Book for each security. We see above, for example, that as of the end of the first trading day there were 1,323 offers to sell Security 0, ranging in offer price from $194.06 to $204.00. There were no bids to buy Security 0. Similarly, as of the end of the first day, there were bids but no offers for Security[1], and offers but no bids for Security[2]. Later in the simulation it is common to have both bids and offers for the same security on the books.

The numbers shown above have been reformatted from the way they appeared in the Daily Reports for Daily Reports for Case...csv file. Perhaps the easiest way to reformat all these cells is to first select all of them and format them all as having two decimal places; then select all of the Size columns and format them as Custom #,##0. (To select an entire table of numbers, click on the upper left entry, then hold down the shift key and click on the lower right entry. To select a column of numbers, click on the letter at the top of the column that identifies the column. To select several columns hold the Control key down as you select each in turn. With all the Size columns selected, click on Format|Cells. On the Number tab, under Category select Custom, then under Type select #,##0. Click OK.

The next ten columns present macro information about the end-of-day status of the simulated system.

Except for the Lend Rate and Borrow Rate, if these columns are to be viewed or displayed for the particular run they should be put into #,##0 format. See formatting instructions for volume statistics above.

The current model (M23a) starts all investors fully and equally invested in all securities, except that security holdings are rounded to integral numbers of shares, possibly resulting in small cash holdings or amounts borrowed, if security holdings don't add up to the randomly drawn initial wealth. Cash may be lent to or borrowed from "the broker" at the current borrow and lend rates. These may change over time, as described in  Input File Documentation. As of the end of day one of the current run, the value of all securities exceeded 6.6 billion dollars; cash lent to and borrowed from the broker equaled approximately 13.7 and 17.4 million dollars, respectively; during the first ten days of simulation there was no bad debt and less than $1,000 of withdrawals due (requested but not paid); the lend rate and borrow rate were 3 and 6 percent, respectively. The accumulated interest received from the broker and paid to the broker since the start of the simulation reach about $71,000 and $96,000 by day ten. Accumulated short rebates received were negligible. As explained in the Input File Documentation, the daily interest rate is the "annual" interest rate divided by the number of trading days in the year. In the current model, M23a, there are twenty trading days in each of the twelve months of the year.

The final columns of the Case…csv file present account status information concerning investors of each of the Investor Templates.

The first of these columns shows, for each Investor Template, the total number of investors of that template; the second shows how many of these are currently OK, as of the end of the day; that is, how many are not defunct nor subject to a margin call. The next two columns break down the OK investors into those that are "Active" versus those that are "Poor," namely, those whose wealth is at least equal to the following input parameter, versus those whose wealth is less:
 

Small Purchase Slack

:

1000.0

The next column shows how many investors of the template are currently subject to a margin call; the next, how many are defunct. The last three columns for this template show the average, the standard deviation and the maximum of current wealth divided by initial wealth among investors of this template. In this calculation, investors with negative wealth, as well as those who are defunct, are counted as having zero wealth.

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Last updated: June 30, 2005