Estimation of a behavioral model within an agent-based model of a financial market
Single Wave Study
General Information
Title
Estimation of a behavioral model within an agent-based model of a financial market
Project Number
184
Abstract
This study aims to estimate and validate heterogeneous agent-based models in finance. These models implement behavioral theories computationally, emphasizing limited optimization abilities of economic agents and describing their behavior in financial markets by pointing to simple “rules of thumb”. The questions include individual risk attitudes, portfolio composition, beliefs about stock markets, and information exchange. The answers are used to estimate and measure the parameters that are crucial to the behavior of agents and the market as a whole.
Longitudinal Type
Single Wave Study
Begin date
02-07-2012
End date
31-07-2012
Researcher
Rasa Stasiukynaite, Hendri Adriaens & Bertrand Melenberg
Publisher
CentERdata
Copyright
© 2019 CentERdata
Funding Organization
CentERdata/MESS Project
DOI
https://doi.org/10.17026/dans-xgr-r6kx
Datasets and documentation
View Documentation
Codebook in English
Codebook in Dutch
Data Files
English SPSS file
English STATA file
Variables
| Variable name | Variable Label | Variable Type |
|---|---|---|
| nomem_encr | Number of household member encrypted | preloaded |
| gt12a_m | Year and month of the field work period | constructed |
| gt12a001 | Random number 1..2; determines which experimental version of the questionnaire is presented to the respondent: Mr. Jones or personalized | constructed |
| gt12a002 | Random number 1..2; determines the order of fills in question gt12a020 en gt12a021 | constructed |
| gt12a003 | Random number 1..2; determines the order of fills in question gt12a028 en gt12a029 | constructed |
| gt12a004 | Random number 1..2; determines the order of fills in question gt12a031 en gt12a032 | constructed |
| gt12a005 | Preloaded variable, cost example at question gt12a020 and gt21a021 | preloaded |
| gt12a006 | Preloaded variable, cost example at question gt12a020 and gt12a021 | preloaded |
| gt12a007 | Preloaded variable, percentage example at question gt12a020 and gt12a021 | preloaded |
| gt12a008 | Preloaded variable, percentage example at question gt12a020 and gt12a021 | preloaded |
| gt12a009 | Preloaded variable, cost example at question gt12a028 and gt12a029 | preloaded |
| gt12a010 | Preloaded variable, cost example at question gt12a028 and gt12a029 | preloaded |
| gt12a011 | Preloaded variable, percentage example at question gt12a028 and gt12a029 | preloaded |
| gt12a012 | Preloaded variable, percentage example at question gt12a028 and gt12a029 | preloaded |
| gt12a013 | Preloaded variable, cost example at question gt12a31 and gt12a32 | preloaded |
| gt12a014 | Preloaded variable, cost example at question gt12a31 and gt12a32 | preloaded |
| gt12a015 | Preloaded variable, percentage example at question gt12a31 and gt12a32 | preloaded |
| gt12a016 | Preloaded variable, percentage example at question gt12a31 and gt12a32 | preloaded |
| gt12a017 | Do you currently own financial products such as shares, bonds or equity funds? | directly measured |
| gt12a018 | Have you owned any financial products such as shares, bonds or equity funds, in the past six months? | directly measured |
| gt12a019 | How high should the interest on the savings account be, for you to opt for the saving account rather than the investment portfolio? | directly measured |
| gt12a020 | Mr. Jones intends to book a holiday for his next vacation... Which method would you most probably advise Mr. Jones to use? | directly measured |
| gt12a021 | Suppose you intend to book a holiday for your next vacation... Which method would you probably choose? | directly measured |
| gt12a022 | Did the information in the previous question about how other people plan their holiday influence your choice? | directly measured |
| gt12a023 | When you make decisions about your investments, what events in the stock market and economy do you take into account? | directly measured |
| gt12a024 | Now you will see a number of statements. Please indicate each time to what extent you agree or disagree with the statement. Price developments in the stock market are completely unpredictabe. | directly measured |
| gt12a025 | I read the prognoses about the stock market and base my investment decisions on that information. | directly measured |
| gt12a026 | Shares are sometimes priced wrongly by the market, that is to say that market prices may be higher or lower than the actual value of the shares. | directly measured |
| gt12a027 | When I invest in an investment portfolio ... the advice of ... others that invest in an important source of information... | directly measured |
| gt12a028 | Mr Jones ownes an investment portfolio... Which method would you most probably advise Mr. Jones to apply? | directly measured |
| gt12a029 | Suppose that you intend to modify your portfolio's composition with a view to future prognoses and the anticipated yield... Which method would you most probably apply? | directly measured |
| gt12a030 | Did the information in the previous question about other investors influence your choice? | directly measured |
| gt12a031 | Suppose now that Mr. Jones wants to predict the anticipated annual yield of a share... Which method would you most probably recommend to Mr. Jones? | directly measured |
| gt12a032 | Suppose now that you wish to predict the anticipated annual yield of a share... Which method would you most probably use? | directly measured |
| gt12a033 | Did the information in the previous question about other investors influence your choice? | directly measured |
| gt12a034 | Please think back to the last time you revised your investment portfolio. What changes did you make at that time? | directly measured |
| gt12a035 | By how much did you [lower/increase] the value of your portfolio? | directly measured |
| gt12a036 | Could you indicate, then, to what category the amount belongs? | directly measured |
| gt12a037 | What was (approximately) the total value of your investment portfolio before you last revised it? | directly measured |
| gt12a038 | Could you indicate, then, to what category the total amount of your portfolio belongs? | directly measured |
| gt12a039 | What was the reason you changed the value of your investment portfolio? | directly measured |
| gt12a040 | What was the reason you changed the value of your investment portfolio?: other reason, namely.. | directly measured |
| gt12a041 | By how much had you anticipated that the value of your investment portfolio would [increase/decrease] (before you revised the value of your investment portfolio)? | directly measured |
| gt12a042 | Could you indicate, then, to what category the [increase/decrease] that you had anticipated belongs? | directly measured |
| gt12a043 | Was it difficult to answer the questions? | directly measured |
| gt12a044 | Were the questions sufficiently clear? | directly measured |
| gt12a045 | Did the questionnaire get you thinking about things? | directly measured |
| gt12a046 | Was it an interesting subject? | directly measured |
| gt12a047 | Did you enjoy answering the questions? | directly measured |
| gt12a048 | Starting date questionnaire | constructed |
| gt12a049 | Starting time questionnaire | constructed |
| gt12a050 | End date questionnaire | constructed |
| gt12a051 | End time questionnaire | constructed |
| gt12a052 | Duration in seconds | derived |
Questions
Questionnaire: Estimation of a behavioral model within an agent-based model of a financial market
The questionnaire was administered in Dutch
Browse Estimation of a behavioral model within an agent-based model of a financial marketResponse Information
Response Overview
Selected number of household members: 7,159 (100%)Non-response: 1,777 (24.8%)
Response: 5,382 (75.2%)
Complete: 5,348 (74.7%)
Incomplete: 34 (0.5%)
Collection Events
Period
02-07-2012 to 31-07-2012
Sample
Panel members aged 16 years or older (excluding members with general refusal of financial questionnaires)
Collection Mode
internet survey
Fieldwork Note
A reminder was sent twice to non-respondents