Setting the Futures Margin with Price Limits: The Case for Single-Stock Futures

TY - JOUR

T1 - Setting the Futures Margin with Price Limits: The Case for Single-Stock Futures

AU - Chen, Chen-Yu

AU - Chou, Jian-Hsin

AU - Fung, Hung-Gay

AU - Tse, Yiuman

N1 - Chen-Yu Chen Jian-Hsin Chou Hung-Gay Fung Yiuman Tse Price limits are artificial boundaries established by regulators to establish the maximum price movement permitted in a single day. We propose using a new censoring method that incorporates the effect of price limits on the futures price distribution and investigates how to set an appropriate daily margin level using single-stock futures in Taiwan.

PY - 2017/1/1

Y1 - 2017/1/1

UR - https://link.springer.com/content/pdf/10.1007%2Fs11156-015-0548-7.pdf

U2 - 10.1007/s11156-015-0548-7

DO - 10.1007/s11156-015-0548-7

M3 - Article

VL - 48

JO - Review of Quantitative Finance and Accounting

JF - Review of Quantitative Finance and Accounting

ER -