Research Article
Trading Strategies of a Leveraged ETF in a Continuous Double Auction Market Using an Agent-Based Simulation
Table 6
Underlying market volatility
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| | | | 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 |
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