跳到主要导航 跳到搜索 跳到主要内容

A method for price limits setting in futures market

  • Xi'an Jiaotong University

科研成果: 书/报告/会议事项章节会议稿件同行评审

摘要

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.

源语言英语
主期刊名3rd International Joint Conference on Computational Sciences and Optimization, CSO 2010
主期刊副标题Theoretical Development and Engineering Practice
522-525
页数4
DOI
出版状态已出版 - 2010
活动3rd International Joint Conference on Computational Sciences and Optimization, CSO 2010: Theoretical Development and Engineering Practice - Huangshan, Anhui, 中国
期限: 28 5月 201031 5月 2010

出版系列

姓名3rd International Joint Conference on Computational Sciences and Optimization, CSO 2010: Theoretical Development and Engineering Practice
1

会议

会议3rd International Joint Conference on Computational Sciences and Optimization, CSO 2010: Theoretical Development and Engineering Practice
国家/地区中国
Huangshan, Anhui
时期28/05/1031/05/10

学术指纹

探究 'A method for price limits setting in futures market' 的科研主题。它们共同构成独一无二的指纹。

引用此