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

Figure 4

Simulation results. (a) Simulated trajectory of asset prices and values (for clarity, only the 500 first sets of data are shown); (b) return series (in percentage); (c) tail distribution of the absolute return in the log-log scale and a least-square fit for values; (d) autocorrelation function of return and absolute return; the autocorrelation function of absolute return decays slowly, indicating that the volatility has long-memory characteristics.

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