eol wti maket maker simulation model john ,
here is the spreadsheet zimin built for estimaing p / l from trading wti
forwards . let zimin , vince , or i know if you have questions or comments .
- - stinson
- - - - - - - - - - - - - - - - - - - - - - forwarded by stinson gibner / hou / ect on 11 / 20 / 2000
11 : 14 am - - - - - - - - - - - - - - - - - - - - - - - - - - -
zimin lu
11 / 17 / 2000 04 : 37 pm
to : stinson gibner / hou / ect @ ect
cc : vince j kaminski / hou / ect @ ect
subject : eol wti maket maker simulation model
stinson ,
i add the total p / l due to contract rollover . when the number of trades is
large
and the spread is not too small , the model prints a lot of money , dominated by
those trade earning the half of bo spread .
i also wrote an explaination about the model on the front page . i think we
are
ready to deliever the model v . 1 .
zimin
eol wti maket maker simulation model
john ,
here is the spreadsheet zimin built for estimaing p / l from trading wti
forwards . let zimin , vince , or i know if you have questions or comments .
- - stinson
- - - - - - - - - - - - - - - - - - - - - - forwarded by stinson gibner / hou / ect on 11 / 20 / 2000
11 : 14 am - - - - - - - - - - - - - - - - - - - - - - - - - - -
zimin lu
11 / 17 / 2000 04 : 37 pm
to : stinson gibner / hou / ect @ ect
cc : vince j kaminski / hou / ect @ ect
subject : eol wti maket maker simulation model
stinson ,
i add the total p / l due to contract rollover . when the number of trades is
large
and the spread is not too small , the model prints a lot of money , dominated by
those trade earning the half of bo spread .
i also wrote an explaination about the model on the front page . i think we
are
ready to deliever the model v . 1 .
zimin