Clipping a heavy-tailed return at a price limit and retaining a fraction of the hidden overshoot generates same-sign next-day responses and finite same-limit persistence in a minimal stochastic model.
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Retained hidden excess generates memory in price-limited markets
Clipping a heavy-tailed return at a price limit and retaining a fraction of the hidden overshoot generates same-sign next-day responses and finite same-limit persistence in a minimal stochastic model.