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

Table 2

Sensitivity analysis of the parameter of exponential distribution .

	0.01	0.02	0.03	0.04	0.05	0.06	0.07	0.08	0.09	0.10
Mean	100.11	100.02	100.02	99.86	99.64	100.19	100.16	99.81	100.08	99.90
Std.	2.61	2.57	2.48	2.42	2.36	2.34	2.29	2.26	2.25	2.19
Skewness	-0.02	0.01	0.01	-0.01	-0.01	0.01	0.04	-0.04	-0.01	-0.01
Kurtosis	-0.59	-0.56	-0.61	-0.54	-0.53	-0.51	-0.46	-0.39	-0.38	-0.29
Mean of the power exponent	3.11	3.14	3.14	3.16	3.17	3.19	3.20	3.20	3.20	3.22
Std. of the power exponent	0.21	0.23	0.22	0.23	0.22	0.22	0.24	0.24	0.23	0.23