market maker simulation v . 2 stinson and vince ,
i finished the second version of the model which deals with open to close
trading .
the major difference is that there is an additional mark to market at open
price which
will affect the p / l .
i also added the output features that john wants to see .
the cumulative p / l is path dependent , the net open allowed seemingly has
a strong influence on the cumulative p / l trajectory . ( the anomaly i
discussed
with vince is due to the trajectory shape change which needs further
examination ) .
could you review what i have done before we talk to john again ?
zimin
market maker simulation v . 2
stinson and vince ,
i finished the second version of the model which deals with open to close
trading .
the major difference is that there is an additional mark to market at open
price which
will affect the p / l .
i also added the output features that john wants to see .
the cumulative p / l is path dependent , the net open allowed seemingly has
a strong influence on the cumulative p / l trajectory . ( the anomaly i
discussed
with vince is due to the trajectory shape change which needs further
examination ) .
could you review what i have done before we talk to john again ?
zimin