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Enron Mail |
Vince,
Since you are not here today, I just sent out the presentation of the model I prepared for John for his feedback. I would appreciate that you review it before we make the final version. Obviously, this simulation model is going to make a big impact on our online trading. And I am happy that we have accomplished this task effciently and elegantly. Zimin ---------------------- Forwarded by Zimin Lu/HOU/ECT on 12/06/2000 01:25 PM --------------------------- Zimin Lu 12/06/2000 01:21 PM To: John J Lavorato/Corp/Enron@Enron cc: Stinson Gibner/HOU/ECT@ECT, Vince J Kaminski/HOU/ECT@ECT Subject: WTI trading simulation model - presentation John, I put together a presentation of the simulation model for WTI market maker for you. The P/L results are investigated by assuming different scenarios. The key variable is the number of trade per day, therefore is varied from 200 to 1000 trades. Scenarios are generated by different spreads, net open position allowed, and time period. Take a look what I have prepared, and let me know things you want to add or delete. If you have any questions, I will be happy to discuss with you. Zimin PS: this presentation is only for the open-close trading. I will produce exact the same sequence for the continuous trading (close-close) once you approve the content.
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