Setting the futures margin with price limits: the case for single-stock futures
Sign Up to like & getrecommendations! Published in 2017 at "Review of Quantitative Finance and Accounting"
DOI: 10.1007/s11156-015-0548-7
Abstract: 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… read more here.
Keywords: price limits; stock futures; setting futures; single stock ... See more keywords
Evaluating VPIN as a Trigger for Single-Stock Circuit Breakers
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Banking and Finance"
DOI: 10.1016/j.jbankfin.2017.08.009
Abstract: We study if VPIN (Easley et al., 2012a) is an efficient advance indicator of toxicity-induced liquidity crises and related sharp price movements. We find that high VPIN readings rarely signal abnormal illiquidity, and very occasionally… read more here.
Keywords: evaluating vpin; stock circuit; trigger single; single stock ... See more keywords