Trading Strategies of a Leveraged ETF in a Continuous Double Auction Market Using an Agent-Based Simulation

Table 6

Underlying market volatility .

		0.1	0.2	0.3	0.4	0.5
	10	1.35	0.95	0.81	0.79	0.78
	20	1.78	1.03	0.82	0.78	0.78
	30	2.27	1.07	0.81	0.79	0.78
	40	—	1.12	0.81	0.77	0.77
	50	—	1.16	0.80	0.76	0.77
	60	—	—	0.79	0.76	0.76
	70	—	—	0.78	0.74	0.75
	80	—	—	0.78	0.73	0.74
	90	—	—	0.78	0.73	0.74
	100	—	—	0.78	0.72	0.73