Self-Exciting Jump-Diffusion Simulator
Vanilla GBM
Kou
Excited Kou v2
σ (volatility)
0.003
S₀ (initial price)
70000
T (seconds)
300
λ_base (jump rate)
1.00
η (inv. jump size)
200
α (self-excitation)
0.80
δ (dir. persistence)
0.15
Simulate
Kurtosis:
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| ACF(1):
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