Research Article
The Hesitation of Anxious Traders in an Agent-Based Model
Table 9
Price deviations and momentum strengths after calibration. Note: This table reports the price deviations and momentum strengths after the model parameters are calibrated. In light of Recchioni et al. [124], the initial asset price and initial fundamental price in the calibration are equal to the first weekly observation of the S&P500 in 2021. We calculate the deviations in asset prices from their fundamentals and momentum strengths for both the rational and irrational scenarios. The magnitude of behavioral hesitation and decision rigidity of the anxious agent is denoted by d. When d equals 1, the anxious agent does not embody hesitation. The anxious agent begins to exhibit hesitation when d equals 2 or is even higher than 2. The upper bounds for the irrational circumstances are 0.1, 0.2, and 0.5, respectively.
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