The separation of stock characteristics from issue inputs is arbitrary and was done to permit the creation of an issue "library" that would include issue input values for a number of stocks. The selection of a particular issue would be done by specifying the stock name in the stock characteristics section.

The free-form input mechanism of SIMSCRIPT II is used for most inputs to obviate the need for fixed column alignment of individual data values. The model program does require, however, that any alphanumeric information be placed at the beginning of a new input card to avoid confusion.

*

The input questionnaire appears at the end of this section. The numbers next to the following input descriptions correspond to the numbers assigned to input parameters in the questionnaire. Unless indicated otherwise, all input is free-form except where the mode of a data item is specified as ALPHA. In this case, the data value must appear on a new card. All numeric values adhere to SIMSCRIPT rules-blanks are separators, and fields may not be continued across card boundaries. INTEGER inputs may not have decimal points or fractional values; REAL inputs may appear in decimal form, exponential form (5.32 .532E+1), or as integers. The following describes each item on the input questionnaire by group and gives an example of the corresponding model inputs. The figures should be viewed as a card deck with the first card appearing at the bottom of the figure.

=

Run Identification (See Fig. 12.)

1. Date (new card, ALPHA) -->

--run identifying date.

2. Title (new card, ALPHA)--comment or title that appears in

"Once a user has gained familiarity with this section, the input questionnaire may be used as a simplified guide to input preparation.

-51

3.

the heading of each output page. A full 80 characters are read--the title may be centered as desired.

Run number (new card, ALPHA)--run identification number (any four characters or less).

4.

Number of days in simulation (new card, INTEGER)--the number of trading days the simulation is to last.

5. Number of firms (INTEGER).

6.

First day to begin collection of performance statistics
(INTEGER).

7. Report interval (INTEGER)--the interval in days between report
printouts.

8.

9.

10.

11.

12.

Continuous daily printout (new card, ALPHA)--yes or no. If answer is yes, specify a day to start and a day to end the continuous daily report printout. If answer is no, specify both days as zero (new card, INTEGER) to keep the total number of input values uniform between model runs.

Three optional displays (new card, ALPHA)--yes or no to each
question. These displays are fail histograms, delivery
orders remaining at the end of a day, and stock loans
outstanding.

Identical trading pattern (new card, ALPHA)-
--a yes or no
answer is again required--see page 76 for an explanation of
identical trading patterns. If answered yes, specify (new
card, INTEGER) an integral multiple of the base volume.
Otherwise, specify zero (new card, INTEGER).

Random number stream for trading pattern (INTEGER)--between
1 and 10.

Yearly interest rate (REAL fraction).

13.

14.

15.

Stock name (new card, ALPHA)--up to 16 characters.

Base average daily trading volume in 100 share units (new card, INTEGER).

Base price of issue in dollars (REAL).

-53

Industry-wide Operating Characteristics

16. Days between trade and settlement (INTEGER).

17.

18.

19.

20.

21.

22.

23.

24.

25.

26.

27.

28.

29.

30.

Deliveries attempted per day (INTEGER).

Margin requirement (REAL fraction).

Bank collateral rate (REAL fraction).

Percentage of free inventory available for stock loans
(REAL fraction).

Probability of a trade becoming uncompared (REAL fraction).

Average interregional delivery time (INTEGER)--days required. Days firm holds certificates in nonhouse name prior to transfer (INTEGER).

Percentage cash customers leaving certificates with broker (REAL fraction).

Percentage margin sales sold short (REAL fraction).

Percentage margin buys covering shorts (REAL fraction).

Probability of delivery not made due to denomination problem
(REAL fraction).

Probability that broker to bank delivery order is DK'd
(REAL fraction).

Stock loan policy (new card, ALPHA)--specify one of the
following options exactly.

NO FAILS

INSTITUTIONAL FAILS ONLY

BROKER TO BROKER FAILS ONLY

CASH FAILS ONLY

BOTH INSTITUTIONAL AND BROKER TO BROKER FAILS

BOTH BROKER TO BROKER AND CASH FAILS

BOTH CASH AND INSTITUTIONAL FAILS

ALL FAILS

This input determines which fail type(s) are covered by stock loans (favored fails).

Partial delivery policy (new card, ALPHA)--specify exactly as below.

NO ORDERS

INSTITUTIONAL ORDERS ONLY

BROKER BALANCE ORDERS ONLY

STOCK LOAN REPAYMENTS ONLY

BOTH INSTITUTIONAL AND BROKER BALANCE ORDERS

BOTH BROKER BALANCE ORDERS AND STOCK LOAN REPAYMENTS
BOTH STOCK LOAN REPAYMENTS AND INSTITUTIONAL ORDERS

ALL BROKER AND INSTITUTIONAL ORDERS AND STOCK LOAN
REPAYMENTS

-54

31.

This input determines which delivery order types may be only
partially delivered because of insufficient free box.

Clearing procedure (new card, ALPHA)--specify exactly as
indicated below.

TRADE BY TRADE

DAILY NET

SORT ON FIRM'S NET POSITION--DAILY NET
CONTINUOUS NET

See discussion of clearing algorithms on pages 78-79. 32. Delivery order priorities (INTEGER)--assign priorities in order to (a) institutional, (b) cash customer, (c) stock loan repayment, and (d) balance orders (broker). These priorities the integers 1 through 4, with 1 being the highest priority. The priority represents the order in which each firm attempts to meet its delivery obligations. Delivery orders with the same priority are ranked by oldest date first.

ar