An empirical behavioral order-driven model with price limit rules

Financial Innovation

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

Stock	H_s,A	Stock	H_s,B	Stock	H_s,A	Stock	H_s,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

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