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

Figure 7

Structural changes test results of minute returns of simulated data. The CUSUM test finds 2 structural changes, namely, the 1976 time unit and the 2891 time unit marked by arrows in the figure, which can divide the entire return series into 3 phases. The first phase is from 1 to 1976 time unit, the second phase is from 1977 to 2891 time unit, and the third phase is from 2892 to the end.