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Table 1 Hurst exponents \(H_s\) of order directions for the 32 A-share stocks and 11 B-share stocks estimated using the detrending moving average (DMA) method

From: An empirical behavioral order-driven model with price limit rules

Stock Hs,A Stock Hs,B Stock Hs,A Stock Hs,A
000002 0.904 ± 0.005 200002 0.844 ± 0.001 000001 0.895 ± 0.008 000778 0.842 ± 0.005
000012 0.834 ± 0.007 200012 0.812 ± 0.003 000009 0.866 ± 0.010 000800 0.871 ± 0.005
000016 0.841 ± 0.005 200016 0.759 ± 0.005 000021 0.824 ± 0.010 000825 0.906 ± 0.003
000024 0.832 ± 0.005 200024 0.751 ± 0.009 000027 0.891 ± 0.006 000839 0.859 ± 0.009
000429 0.827 ± 0.003 200429 0.816 ± 0.004 000063 0.856 ± 0.008 000858 0.885 ± 0.003
000488 0.814 ± 0.004 200488 0.814 ± 0.009 000066 0.829 ± 0.009 000898 0.884 ± 0.007
000539 0.852 ± 0.004 200539 0.870 ± 0.002 000088 0.844 ± 0.005 000917 0.815 ± 0.006
000541 0.862 ± 0.002 200541 0.774 ± 0.003 000089 0.864 ± 0.003 000932 0.876 ± 0.005
000550 0.834 ± 0.007 200550 0.781 ± 0.009 000406 0.830 ± 0.008 000956 0.848 ± 0.007
000581 0.892 ± 0.002 200581 0.799 ± 0.006 000709 0.860 ± 0.006 000983 0.853 ± 0.004
000625 0.806 ± 0.009 200625 0.845 ± 0.005 000720 0.819 ± 0.002   
  1. The mean Hurst exponent is \(\langle {H_s}\rangle =0.841 \pm 0.036\) for all stocks, \(\langle {H_{s,A}}\rangle =0.854 \pm 0.027\) for A shares, and \(\langle {H_{s,B}}\rangle =0.806\pm 0.036\) for B-shares