Skip to main content

Table 6 Estimated Hurst 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 \(0.45\pm 0.01\) \(0.50\pm 0.01\) \(0.53\pm 0.01\) \(0.55\pm 0.02\) \(0.56\pm 0.01\) \(0.57\pm 0.01\)
− 0.10 \(0.43\pm 0.01\) \(0.50\pm 0.02\) \(0.53\pm 0.01\) \(0.55\pm 0.01\) \(0.56\pm 0.01\) \(0.56\pm 0.02\)
− 0.15 \(0.45\pm 0.01\) \(0.45\pm 0.01\) \(0.52\pm 0.02\) \(0.55\pm 0.01\) \(0.56\pm 0.02\) \(0.57\pm 0.01\)
− 0.20 \(0.46\pm 0.01\) \(0.46\pm 0.01\) \(0.47\pm 0.01\) \(0.54\pm 0.02\) \(0.55\pm 0.02\) \(0.56\pm 0.01\)
− 0.25 \(0.48\pm 0.02\) \(0.48\pm 0.01\) \(0.48\pm 0.01\) \(0.48\pm 0.01\) \(0.54\pm 0.02\) \(0.56\pm 0.02\)
− 0.30 \(0.49\pm 0.01\) \(0.50\pm 0.02\) \(0.49\pm 0.01\) \(0.50\pm 0.01\) \(0.49\pm 0.01\) \(0.52\pm 0.03\)
  1. The first row shows the \(\phi_{+}\) values, whereas the first column shows the \(\phi_{-}\) values