Simulation checklist

[sbenthall]

We need to finalize the configuration of the simulation.

AMMPS

• Double check that config parameters are 'what we want' -- agree with SHARKFin. - @mesalas
• Make sure we are using the most recent binaries. - @mesalas @wjt5121

SHARKFin

• Make sure the Lucas0 population is configured how we want - @alanlujan91 @sbenthall
• Make sure the starting wealth of the Lucas0 population is calculated accurately - @alanlujan91 @sbenthall
• Make sure that the starting expectations and preferences are valid, given the LAP constraint. - @alanlujan91 @sbenthall
• Instrument the trading ranges see intraday 'flash crash' instrumentation #267
• Update grid.
  • The 'grid' actually needs the population parameters passed to it, because it overrides these with defaults! Not a great design (my bad) https://github.com/sbenthall/SHARKFin/blob/master/simulate/run_any_simulation.py

Assumptions

• Initial price is 100 dollars.
• Initial dividend is computed as a function of the price, and LAP logic.
• Infinite horizon consumers.

Grid

? - optional parameter if we have time.

seeds = 100

AMMPS parameters:

mm_lucas_factor =[0.0, .5?, 1.0]

SHARKFin parameters:

--dphm [1, 20?, 148, 1097] # (e^0, e^5, e^7) [looking for effect of this on the flash crash]

--attention [0.001,0.01?, 0.1, 1.0] [looking for effect of this on the flash crash]
--zeta [0.0, 0.1, 0.5?, 1.0]

--p1?
--p2?
--dividend_growth_rate?
--dividend_stdev [0.5x?, x]

--pop_CRRA 5
--pop_DiscFac 0.9
--pop_aNrmInitMean 0.02677 # ????

Additional stochastic variables:

• income
• dividend
• ...

[mesalas]

I just want to flag that i have CRRA of 6 in my configs but above says 5

Id like to do a run where we set the standard deviation of the dividend process to 1/2 of what we are using now. ie 0.005994 . If we do this we need to make sure we change this across both ammps and sharkfin.
For the ammps side of things the dividend process standard deviation used by the lucas asset pricing agents can be set by using the command line argument --dividend_std when generating the ammps config.

[sbenthall]

Sorry for the confusion.

@alanlujan91 and I met yesterday and agreed:

• Alan is the parameter czar, responsible for choosing the consumer and economic system parameters for SHARKFin
• The place where the canonical values for these parameters will be kept will be this wiki page, unless he says otherwise: https://github.com/sbenthall/SHARKFin/wiki/JEBO-Parameters

I can take responsibility for getting the correct parameters into the SHARKFin configuration via the CLI.

I'm not sure I'm following what you're saying about doing a run with less dividend stdev. Let's discuss soon.

[mesalas]

I think we should also add to the check list that we should double check commands that Bills scripts use to call ammps_config_generator, ammps and SHARKfin.