𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Extreme price movements and margin levels in futures markets

✍ Scribed by Franklin R. Edwards; Salih N. Neftci

Publisher
John Wiley and Sons
Year
1988
Tongue
English
Weight
873 KB
Volume
8
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.

✦ Synopsis

Since definition 1) is the least stringent and provides the most degrees of freedom, it is not surprising that our results show fewer significant correlations for definitions 2) and 3).

πŸ“œ SIMILAR VOLUMES

Optimal margin level in futures markets:
Optimal margin level in futures markets: Extreme price movements
✍ Longin, FranοΏ½ois M. πŸ“‚ Article πŸ“… 1999 πŸ› John Wiley and Sons 🌐 English βš– 272 KB πŸ‘ 2 views

Along with price limits and capital requirements, the margin mechanism ensures the integrity of futures markets. Margin committees and brokers in futures markets face a trade-off when setting the margin level. A high level protects brokers against insolvent customers and thus reinforces market integ

Margin requirements in futures markets:
Margin requirements in futures markets: Their relationship to price volatility
✍ Raymond P. H. Fishe; Lawrence G. Goldberg; Thomas F. Gosnell; Sujata Sinha πŸ“‚ Article πŸ“… 1990 πŸ› John Wiley and Sons 🌐 English βš– 902 KB

rokers and exchanges require customers to provide security deposits called B margins when they trade in futures markets. Minimum margin levels are set by exchanges and brokers must set margin requirements for their customers at least equal to these minimums. This system has come under attack as fina

The live cattle futures market and daily
The live cattle futures market and daily cash price movements
✍ B. Wade Brorsen; Charles M. Oellermann; Paul L. Farris πŸ“‚ Article πŸ“… 1989 πŸ› John Wiley and Sons 🌐 English βš– 660 KB

1' cash prices. The live cattle futures in particular have been criticized. Although some have argued that futures trading can lower the average level of cash prices (Wise, 1962;Bagnell, 1963), a more common belief is that futures markets tend to destabilize cash prices and thus increase the risk fa