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

Table 1

Sensitivity analysis of threshold .

	1.1	1.2	1.3	1.4	1.5	1.6	1.7	1.8	1.9	2.0
Mean of price	99.93	100.22	100.11	100.09	99.64	99.91	100.17	100.14	99.89	100.13
Std. of price	2.84	2.78	2.68	2.55	2.36	2.27	2.11	1.93	1.84	1.72
Skewness	-0.03	-0.01	-0.01	-0.03	-0.01	-0.01	-0.03	0.02	-0.02	-0.01
Kurtosis	-0.50	-0.55	-0.55	-0.53	-0.53	-0.52	-0.50	-0.50	-0.51	-0.56
Mean of the power exponent	3.17	3.17	3.18	3.17	3.17	3.18	3.16	3.17	3.17	3.18
Std. of the power exponent	0.23	0.23	0.23	0.22	0.22	0.23	0.23	0.23	0.23	0.23