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Financial Innovation

Table 3 Estimated divergence rates of the price trajectories when \(|\phi_{-}|<\phi_{+}\) and the half-lives \(t_{1/2}\) when \(|\phi_{-}|>\phi_{+}\)

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

 

0.05

0.10

0.15

0.20

0.25

0.30

− 0.05

 

0.520

1.050

1.630

2.041

2.508

− 0.10

10.80

 

0.543

1.063

1.619

1.977

− 0.15

4.467

6.885

 

0.593

1.117

1.648

− 0.20

2.828

4.477

1.688

 

0.562

1.000

− 0.25

2.588

4.971

5.662

9.713

 

0.854

− 0.30

1.866

1.965

2.871

3.366

7.983

 
  1. The first row shows the \(\phi_{+}\) values, whereas the first column shows the \(\phi_{-}\) values. The upper triangle presents the convergence rates \(\lambda\) (multiplied by \(10^5\)), while the lower triangle presents the half-lives \(t_{1/2}\) (multiplied by \(10^{-4}\))
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