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Table 4 Estimated tail exponents of the simulated returns for different price limit combinations

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 3.32 3.36 3.37 3.44 3.48 3.53
− 0.10 1.94 3.41 3.51 3.43 3.52 3.50
− 0.15 1.92 2.02 3.34 3.53 3.54 3.53
− 0.20 1.96 1.99 2.02 3.41 3.54 3.54
− 0.25 1.91 2.08 2.03 2.12 3.20 3.45
− 0.30 2.01 2.02 2.11 2.06 2.11 2.72
  1. The first row shows the \(\phi_{+}\) values, whereas the first column shows the \(\phi_{-}\) values