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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