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

Table 3

Sensitivity analysis of the parameter of exponential distribution .

	0.26	0.27	0.28	0.29	0.30	0.31	0.32	0.33	0.34	0.35
Mean	99.90	99.84	100.10	100.02	99.64	100.07	100.17	100.12	100.08	99.90
Std.	2.29	2.33	2.33	2.40	2.36	2.38	2.41	2.40	2.25	2.19
Skewness	-0.01	-0.01	-0.01	0.01	-0.01	0.01	-0.01	0.01	0.01	-0.01
Kurtosis	-0.50	-0.52	-0.52	-0.53	-0.53	-0.52	-0.56	-0.51	-0.51	-0.29
Mean of the power exponent	3.23	3.19	3.19	3.17	3.17	3.16	3.16	3.15	3.15	3.12
Std. of the power exponent	0.23	0.24	0.23	0.22	0.22	0.22	0.22	0.23	0.23	0.23