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Table 7 Estimated Hurst exponents of the simulated volatilities 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

\(0.71\pm 0.01\)

\(0.78\pm 0.01\)

\(0.77\pm 0.01\)

\(0.75\pm 0.02\)

\(0.75\pm 0.02\)

\(0.77\pm 0.01\)

− 0.10

\(0.68\pm 0.01\)

\(0.72\pm 0.01\)

\(0.76\pm 0.02\)

\(0.76\pm 0.02\)

\(0.76\pm 0.02\)

\(0.76\pm 0.01\)

− 0.15

\(0.70\pm 0.01\)

\(0.71\pm 0.02\)

\(0.72\pm 0.02\)

\(0.75\pm 0.01\)

\(0.77\pm 0.03\)

\(0.77\pm 0.01\)

− 0.20

\(0.70\pm 0.02\)

\(0.71\pm 0.01\)

\(0.73\pm 0.02\)

\(0.75\pm 0.01\)

\(0.75\pm 0.02\)

\(0.76\pm 0.01\)

− 0.25

\(0.73\pm 0.02\)

\(0.73\pm 0.02\)

\(0.73\pm 0.02\)

\(0.74\pm 0.02\)

\(0.75\pm 0.02\)

\(0.76\pm 0.02\)

− 0.30

\(0.73\pm 0.02\)

\(0.75\pm 0.02\)

\(0.73\pm 0.03\)

\(0.75\pm 0.02\)

\(0.75\pm 0.02\)

\(0.77\pm 0.02\)

  1. The first row shows the \(\phi_{+}\) values, whereas the first column shows the \(\phi_{-}\) values