JLMSim: Parameters 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 the Parameters File
Parameters of Case M23a NrS16NrIT8_1000_50_200NL -1.xls
This is the .xls, slightly reformatted, version of a .csv output file The
following are the first three lines of output in this
file (slightly reformatted here).
| Nr.
of Securities |
Nr. Historic Factors |
Nr. Kept Days |
Nr. Kept Months |
MaxInit L + |S| |
MaxMaint L + |S| |
Lqdtn Trader |
Data Source |
Uptick Rule |
Rebate Fraction |
| 16 | 2 | 500 | 100 | 2 | 4 | 2 | Endog | Yes | 0.25 |
The above, and most of the remainder of the Parameters File, is information also to be found in the JLMSimInput
File, arranged differently. (See Input File Documentation
for a description of the individual input items.)
The following items appear at the end of the Parameters File, and are not a rewrite of material in the JLMSimInput File.
| Initial | Initial | … |
| Lending | Borrowing | … |
| 1,737,465 | 1,659,288 | … |
| Last random number seed: 635764710 | ||
| Total Deposits | 77,332,114,128 | |
| Total Withdrawals | -72,816,687,919 | |
| Nr. Deposits | 2,237,011 | |
| Nr. Withdrawals | 2,168,739 | |
In model M23a it is
approximately true that each investor's initial portfolio is fully and equally
invested in all securities. This fails to be exactly true because holdings are
rounded to integer numbers of shares. This creates a (usually) small
initial cash or debt position. The data items labeled Initial Lending and Initial Borrowing show the total, over all
investors and securities, of such initial borrowing and lending. This should be compared with the $6,672,064,024
total value of securities (as of the end of Day 1, as reported in the Daily
Reports output). These data items appear on
a line of output that includes numbers that reproduce information from the input file.
The output item labeled "Last random number seed" might be better described as the first not-yet-used
random number seed. If you wish to replicate a case using new random variables it is recommended that you
copy this last seed into the JLMSimInput File as described in the Input File
GUI documentation.
The final four items are:
Total
Deposits made during the run.
Total Withdrawals requested (not necessarily paid).
A count of the number of times deposits were made.
A count of the number of times withdrawals were requested.