A New Predictive Measure Using Agent-Based Behavioral Finance

Todd Feldman · Shuming Liu

A New Predictive Measure Using Agent-Based Behavioral Finance这篇论文主要对Friedman, Abraham,的模型（一下简称FA模型）进行参数校验（calibration）以及研究异质性信念（heterogeneity in beliefs ）如何影响股票市场的波动和收益。

simulation model的工作流程如下：

1. every agent or portfolio manager is randomly assigned a portfolio size and an allocation to a risky asset at the start of the simulation 每位agent，即基金经理设置任意的组合头寸大小以及风险资产的配置比例
2. the portfolio managers update their allocations to the risky asset based on the historical market return, their current idiosyncratic alpha, and a measure of risk from behavioral biases 基金经理根据历史市场收益，异质性的alpha以及行为偏差更新风险资产的配置比例。
3. simulation program averages each manager’s allocation to the risky asset across all managers weighting by the portfolio size. This measure forms the risky asset’s average market demand. 求出所有基金经理风险资产头寸的平均值，用以衡量风险资产的平均市场需求。
4. a change in the average market demand leads to a change in the risky asset’s price and a change in the price leads to a change in the average market demand. 风险资产的平均市场需求的变化导致风险资产的价格变动，风险资产的价格变动亦会导致风险资产的平均市场需求的变化。这个feedback loop会持续直到simulation结束。

FA Simulation Model

t h e   p r i c e   o f   t h e   r i s k y   a s s e t   风 险 资 产 的 价 格    P t = 1 R s − g u ˉ t δ g : t h e   g r o w t h   r a t e , R s t h e   d i s c o u n t   r a t e 1 R s − g :   t h e   p r e s e n t   v a l u e   o f   f u t u r e   d i v i d e n t s u ˉ t : t h e   m e a n   a l l o c a t i o n   a c r o s s   a l l   f u n d   m a n a g e r s   w e i g h t e d   b y   p o r t f o l i o   s i z e δ : a   p a r a m e t e r   t h a t   c a p t u r e s   t h e   s e n s i t i v i t y   o f   p r i c e   t o   b u y i n g   p r e s s u r e . the~price~of~the~risky~asset~\\ 风险资产的价格~~P_t=\frac{1}{R_s-g}\bar u_t^\delta \\ g: the~growth~rate, R_sthe~discount~rate\\ \frac{1}{R_s-g}:~the~present~value~of~future~dividents\\ \bar u_t : the~ mean~ allocation~ across~ all~ fund~ managers~ weighted~by~portfolio~size\\ \delta :a~ parameter~ that~ captures~ the~ sensitivity~ of~ price~ to~ buying~pressure.\\

The realized yield on the risky asset is the log derivative of Eq.(1),

where the first term represents the dividend yield, the second term represents capital gains due to underlying growth, and the third term represents short term capital gains (or losses) due to buying (or selling) pressure.
The payoff function of manager i is,

Managers adjust their exposure to risk by following the slope of the payoff function,

u i , t = ϕ u i , t ~ + u i , t − 1 u ˉ t = ∑ u i , t u_{i,t}=\widetilde{\phi u_{i,t}}+u_{i,t-1}\\ \bar u_t=\sum u_{i,t}

$\widetilde{\alpha_{i,t}}$ is an idiosyncratic mean reverting alpha, 服从mean-reverting Ornstein-Uhlenbeck process 。
α i , t ~ = e − η α i , t − 1 ~ + 1 − e − 2 η 2 η σ ν \widetilde{\alpha_{i,t}}=e^{-\eta }\widetilde{\alpha_{i,t-1}}+\sqrt{ \frac{1-e^{-2\eta}}{2\eta}}\sigma \nu
c2 is the perceived risk factor. determined by using a loss function and exponential averaging
c 2 t = γ L N , t ~ L i , t = m a x 0 , − R G i , t R G i , t = ( R 1 , t + α i , t ~ ) u i , t L i , t ~ = e − η L i , t − 1 ~ + ( 1 − e − η ) L i , t c2_t=\gamma\widetilde{L_{N,t}}\\ L_{i,t}=max{0,-R_{G_i,t}}\\ R_{G_i,t}=(R_{1,t}+\widetilde{\alpha_{i,t}})u_{i,t}\\ \widetilde{L_{i,t}}=e^{-\eta}\widetilde{L_{i,t-1}}+(1-e^{-\eta})L_{i,t}

Calibration Model

α i , t = R i , t − R 0 , t − β i , t ∗ ( R S & P ， t − R 0 , t ) α i , t ~ = e − η α i , t − 1 ~ + ( 1 − e − η ) α i , t \alpha_{i,t}=R_{i,t}-R_{0,t}-\beta_{i,t}*(R_{S\&P，t}-R_{0,t})\\ \widetilde{\alpha_{i,t}}=e^{-\eta}\widetilde{\alpha_{i,t-1}}+(1-e^{-\eta})\alpha_{i,t}

R i , t + k = β 0 + β 1 ∗ S p r e a d B a a − A a a + β 2 ∗ T b i l l 10 y r − 3 m t h + β 4 ∗ ( R m − R f ) + β 5 ∗ S M B + β 6 ∗ H M L + β t ∗ r e c e s s i o n + β 8 ∗ V o l + β 9 ∗ σ u + ε R_{i,t}+k=\beta_0+\beta_1*Spread_{Baa-Aaa}+\beta_2*Tbill_{10yr-3mth}\\ +\beta_4*(R_m-R_f)+\beta_5*SMB+\beta_6*HML+\beta_t*recession \\+\beta_8*Vol+\beta_9*\sigma_u+\varepsilon
Heterogeneity in Beliefs 的实证分析的部分，也是通过回归进行的。VIX回归主要是想检验头寸的标准差和VIX 的标准差是不是差异不大。
V I X % = β 0 + β 1 ∗ S p r e a d B a a − A a a + β 2 ∗ T b i l l 10 y r − 3 m t h + β 4 ∗ ( R m − R f ) + β 5 ∗ S M B + β 6 ∗ H M L + β t ∗ r e c e s s i o n + β 8 ∗ V o l + β 9 ∗ σ u + ε VIX_\%=\beta_0+\beta_1*Spread_{Baa-Aaa}+\beta_2*Tbill_{10yr-3mth}\\ +\beta_4*(R_m-R_f)+\beta_5*SMB+\beta_6*HML+\beta_t*recession \\+\beta_8*Vol+\beta_9*\sigma_u+\varepsilon

R e c e s s i o n = β 0 + β 1 ∗ S p r e a d B a a − A a a + β 2 ∗ T b i l l 10 y r − 3 m t h + β 4 ∗ ( R m − R f ) + β 5 ∗ S M B + β 6 ∗ H M L + β t ∗ r e c e s s i o n + β 8 ∗ V o l + β 9 ∗ σ u + ε Recession=\beta_0+\beta_1*Spread_{Baa-Aaa}+\beta_2*Tbill_{10yr-3mth}\\ +\beta_4*(R_m-R_f)+\beta_5*SMB+\beta_6*HML+\beta_t*recession \\+\beta_8*Vol+\beta_9*\sigma_u+\varepsilon

Results

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