Setting the futures margin with price limits: the case for single-stock futures
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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