search query: @indexterm PRICE LEVEL / total: 354
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| Author: | Booth, G. G. Broussard, J. P. Martikainen, T. |
| Title: | Prudent margin levels in the Finnish stock index futures market. |
| Journal: | Management Science
1997 : AUG, VOL. 43:8, p. 1177-1188 |
| Index terms: | FUTURES MARKETS STOCK MARKETS VALUE ANALYSIS FINLAND PRICE LEVEL |
| Language: | eng |
| Abstract: | Futures market officials are confronted with the difficult task of setting appropriate margin levels that must balance the costs of trader default and the benefits of increased market liquidity. The objective of this research is to extrapolate the probabilities of encountering extreme price movements by applying statistical extreme value theory to the Finnish stock index futures market. The authors Booth, Broussard, Martikainen and Vesa Puttonen found the extreme value technique appropriate since it generates theoretical margin violation probabilities that closely follow the empirical probability distribution. The extrapolated results provide decision makers information on extreme events that have not yet occured. |
SCIMA