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
| Â | 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 | \(0.49\pm 0.01\) | \(0.50\pm 0.02\) | \(0.49\pm 0.01\) | \(0.50\pm 0.01\) | \(0.49\pm 0.01\) | \(0.52\pm 0.03\) |