TY - GEN
T1 - A method for price limits setting in futures market
AU - Xue, Yong
AU - Guo, Ju E.
AU - Xue, Dong
PY - 2010
Y1 - 2010
N2 - This paper develops a method for price limits setting in futures market consistent with self-enforcing contract theory that price limits, in conjunction with margin, ought to provide help for futures contract enforcement. We investigate the distribution of return for SHFE natural rubber futures contract and find a characteristic of heavy-tailedness. Thus, we modify the assumption of normal distribution in Brennan's model of price limits and margin with an empirical distribution estimated by extreme value theory using historical trade data, aiming to introduce the market information of such heavy-tailed price behavior into the setting of price limits. Our results suggest a flexible setting of price limits, in particular, an expansion of price limits when extreme price movement occurs frequently.
AB - This paper develops a method for price limits setting in futures market consistent with self-enforcing contract theory that price limits, in conjunction with margin, ought to provide help for futures contract enforcement. We investigate the distribution of return for SHFE natural rubber futures contract and find a characteristic of heavy-tailedness. Thus, we modify the assumption of normal distribution in Brennan's model of price limits and margin with an empirical distribution estimated by extreme value theory using historical trade data, aiming to introduce the market information of such heavy-tailed price behavior into the setting of price limits. Our results suggest a flexible setting of price limits, in particular, an expansion of price limits when extreme price movement occurs frequently.
KW - Extreme value theory
KW - Price limits
KW - Self-enforcing contract
UR - https://www.scopus.com/pages/publications/77956440150
U2 - 10.1109/CSO.2010.142
DO - 10.1109/CSO.2010.142
M3 - 会议稿件
AN - SCOPUS:77956440150
SN - 9780769540306
T3 - 3rd International Joint Conference on Computational Sciences and Optimization, CSO 2010: Theoretical Development and Engineering Practice
SP - 522
EP - 525
BT - 3rd International Joint Conference on Computational Sciences and Optimization, CSO 2010
T2 - 3rd International Joint Conference on Computational Sciences and Optimization, CSO 2010: Theoretical Development and Engineering Practice
Y2 - 28 May 2010 through 31 May 2010
ER -