Research Article
The Hesitation of Anxious Traders in an Agent-Based Model
Table 2
Simulations with evolutionary proportions. Note: This table presents deviations from the fundamental information, market proportions of anxious agents, the benefit of the anxious agent’s strategy, the difference in benefits between the anxious and fundamentalist agents, and the momentum strengths. The indicator of behavioral hesitation (denoted by d) ranges from 1 to 5. When d equals 1, the expectation for price of the anxious agent can be written as . Hence, the anxious agent does not embody hesitation since the agent only relies on the single-period forecast error in such a case. However, hesitation begins to emerge if d is 2 or over 2 since the agent refers to multiperiod forecast errors. For the sake of inferring statistical significance, we perform a one-sample t-test in every simulation window. Furnished with such exercises, the averages of the t-statistics across windows are obtained. Gatti and Grazzini [88] and García-Magariño et al. [89] also employ the same inference procedure.
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||