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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