An Agent-Based Model of a Pricing Process with Power Law, Volatility Clustering, and Jumps

Figure 2

Jumps of the 5-minute interval under the LM test. Eliminate the overnight effect of the 2017 SSE 50 index data. Process the data at a 5-minute sampling interval and calculate the value of the LM statistic. Compared with the yellow horizontal reference line for the significance level threshold in the figure, the 32 points marked red are beyond the normal value range.