Shanghai and Shenzhen 300 stock index futures margin level setting

Author

Bo, Wang ; Bin-Bin, Zhu ; Xi-Dong, Shen

Author_Institution

Bus. Sch., Univ. of Shanghai for Sci. & Technol., Shanghai, China

fYear

2010

fDate

28-30 June 2010

Firstpage

1

Lastpage

6

Abstract

The Shanghai and Shenzhen 300 stock index futures will soon be launched, stock index futures with a leverage effect, it is necessary to set the research of the margin level of stock index futures in order to trade more efficient and secure. Based on the Shanghai and Shenzhen 300 Index statistical properties, in a certain probability, using extreme value theory based on generalized Pareto distribution to set the margin level, this approach can be more flexible to take into account transactions security and market liquidity.

Keywords

Pareto distribution; statistical analysis; stock markets; Shanghai 300; Shenzhen 300 index statistical properties; Shenzhen 300 stock index; account transactions security; generalized Pareto distribution; margin level setting; market liquidity; Bonding; Contracts; Costs; Economics; Educational institutions; Probability; Security; Statistical analysis; Tail; Testing; Generalized Pareto Distribution; Index futures; Margin level; Shanghai and Shenzhen 300 index;

fLanguage

English

Publisher

ieee

Conference_Titel

Service Systems and Service Management (ICSSSM), 2010 7th International Conference on

Conference_Location

Tokyo

Print_ISBN

978-1-4244-6485-2

Type

conf

DOI

10.1109/ICSSSM.2010.5530141

Filename

5530141