The engine
Every variable of the default model, pt-v20, drawn as a dot and grouped by the part of the market it controls. Lines join a variable to the other parts of the market it was measured to move. A real run of 120 trading days plays through them, and a liquidity crisis lands on day 60. Click a dot to open its row in Model parameters.
243 variables in one engine
Every dot is a variable of model pt-v20, grouped by the part of the market it controls. Press play to watch a real run of 12 companies over 120 days, with a liquidity crisis on day 60.
What each part of the model is doing today
- Economy and rates35bond yield 6.84%
- VIX35VIX 38.4
- Volatility56avg move 1.39%
- Valuation and earnings24P/E 18.6
- Crises and stress21recession odds 70%
- Shocks and jumps19largest move 2.9%
- Liquidity and volume172,439M shares
- Order book17spread 22.6 bp
- Crowd and mispricing11off fair value 0.9%
- Correlation8correlation 0.44
215 of the 243 variables can be set, and the rest are fixed in the preset or derived from others. A line joins a variable to another part of the market when raising the variable by a quarter moved that part in an 80-day test run, which 53 variables did. Each bar runs from the reading's lowest to its highest in the run, and its tick marks the normal level, the average before the crisis. A dot glows by how far its part moved that day. Hover a dot for its name, its default value and what it moved, and click it for its row in the parameter table.
How the lines are measured
Each settable variable with a non-zero value is raised by a quarter, and the same 80-day market is run again, with one fund trading and the liquidity crisis landing on day 40. Each part of the market has one reading, such as the VIX, the average daily move or the spread. A line joins the variable to another part when that part's reading moved away from the unchanged run by more than a set share of its own day-to-day spread. Each variable keeps its three strongest lines.
A variable with no line moved nothing outside its own group by that much in this run. Some variables only matter in a market this run does not reach, and a few cannot be raised alone, because the preset ties them to other variables.
How the parts light up
Each part's reading is recorded every day of the 120-day run. A part lights up by how far its reading moved that day, against its own typical daily move, so a quiet part and a busy one share one scale. The colour turns from teal to amber while the VIX stays above 25 after the crisis.
Limits
- A line comes from one market, one seed and one size of change. It shows that the variable moved that reading there, not how much it would move it in every market.
- The readings are summaries, one per part of the market, so a variable can change a market in ways no reading here captures.
- The run uses twelve simulated companies on the default preset and one shipped scenario.
Reference
Model parameters lists every variable with its value, its bounds and where the value came from. How prices are made explains each part of the model.