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Table 2 Hurst exponents \(H_x\) of relative prices for the 32 A share stocks and 11 B share stocks estimated using the DMA method

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

Stock Hx,A Stock Hx,B Stock Hx,A Stock Hx,A
000002 0.844 ± 0.005 200002 0.773 ± 0.002 000001 0.847 ± 0.009 000778 0.804 ± 0.007
000012 0.800 ± 0.005 200012 0.759 ± 0.004 000009 0.814 ± 0.011 000800 0.821 ± 0.008
000016 0.792 ± 0.005 200016 0.778 ± 0.003 000021 0.814 ± 0.008 000825 0.823 ± 0.004
000024 0.745 ± 0.007 200024 0.755 ± 0.002 000027 0.802 ± 0.012 000839 0.872 ± 0.004
000429 0.767 ± 0.008 200429 0.720 ± 0.005 000063 0.840 ± 0.019 000858 0.801 ± 0.005
000488 0.792 ± 0.002 200488 0.736 ± 0.005 000066 0.808 ± 0.006 000898 0.847 ± 0.007
000539 0.800 ± 0.004 200539 0.741 ± 0.008 000088 0.776 ± 0.005 000917 0.766 ± 0.008
000541 0.765 ± 0.004 200541 0.776 ± 0.002 000089 0.756 ± 0.008 000932 0.800 ± 0.009
000550 0.828 ± 0.004 200550 0.775 ± 0.004 000406 0.787 ± 0.005 000956 0.861 ± 0.006
000581 0.819 ± 0.002 200581 0.793 ± 0.002 000709 0.807 ± 0.005 000983 0.789 ± 0.004
000625 0.813 ± 0.005 200625 0.763 ± 0.006 000720 0.841 ± 0.003   
  1. The mean Hurst exponent is \(\langle {H_x}\rangle =0.796 \pm 0.035\) for all stocks, \(\langle {H_{x,A}}\rangle =0.8075 \pm 0.0301\) for A shares, and \(\langle {H_{x,B}}\rangle =0.7606\pm 0.0204\) for B shares