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

Figure 3

Changes in the 1-minute returns in the Chinese Stock Market. The CUSUM test finds 3 structural changes, which can divide the entire return series into 4 phases. The first phase is from January 3 to January 18, the second phase is from January 19 to March 20, the third phase is from March 21 to May 21, and the fourth phase is from May 22 to December 29.