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Financial Innovation

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
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