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1 Markets I: The Ecosystem and Exchange-Traded Marketsالأسواق عبر الإنترنت 2 Markets II: Rates, FX and Creditالأسواق عبر الإنترنت 3 Markets III: Commodities, Energy and Cryptoالأسواق عبر الإنترنت 4 Quantitative Methodsالأساليب عبر الإنترنت 5 Derivatives and Volatilityالمشتقات عبر الإنترنت 6 Rates, Credit, XVA and Riskالفائدة والائتمان والمخاطر عبر الإنترنت 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosالبحث عبر الإنترنت 8 Strategies I: Equities and Futuresالاستراتيجيات عبر الإنترنت 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksالاستراتيجيات عبر الإنترنت 10 Microstructure and Executionالتنفيذ عبر الإنترنت 11 Market Making and High-Frequency Tradingصناعة السوق عبر الإنترنت 12 Machine Learning for Marketsتعلم الآلة عبر الإنترنت 13 Low-Latency Softwareالتكنولوجيا عبر الإنترنت 14 Networks, Hardware and Trading Infrastructureالتكنولوجيا عبر الإنترنت 15 Research, Data and Risk Platformsالتكنولوجيا عبر الإنترنت 16 The Desk and the Firmالشركة عبر الإنترنت 17 The Industry: Firms, Roles and Careersالمسارات المهنية عبر الإنترنت 18 The Interview Bookالمسارات المهنية عبر الإنترنت
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Quantitative Finance · المسرد

ما معنى Price limit؟

Definition 12.2 Markets I: The Ecosystem and Exchange-Traded Markets · الفصل 12 — Asian and Emerging Equity Markets

A daily price limit forbids orders and trades at prices further than a fixed percentage (or amount) from a reference price, usually the previous close. A share at its upper limit is limit-up: buy orders queue at the limit price and trade only if someone sells there.

Full days spent at the limit before a revaluation can be traded, by . Data: computed by the chapter’s script.
Figure 12.1. Full days spent at the limit before a revaluation can be traded, by Proposition 12.3. Data: computed by the chapter’s script.
Heavy-tailed returns with and without a 10% daily limit. The observed series has no tail beyond the limit and a spike at it; its standard deviation is 3.03% against 3.45%, and its first autocorrelation +0.09 against zero. Data: the tutorial’s simulation.
Figure 12.2. Heavy-tailed returns with and without a 10% daily limit. The observed series has no tail beyond the limit and a spike at it; its standard deviation is 3.03% against 3.45%, and its first autocorrelation +0.09+0.09 against zero. Data: the tutorial’s simulation.

أمثلة

Example 12.4 (Falls take longer)

With L=10%L = 10\% a rise of 50% needs ⌈4.25⌉=5\lceil 4.25\rceil = 5 days, four of them locked. A fall of 50% needs ⌈ln⁡0.5/ln⁡0.9⌉=⌈6.58⌉=7\lceil \ln 0.5/\ln 0.9\rceil = \lceil 6.58\rceil = 7 days, six locked: for six days holders who want to sell cannot, at any price. A fund that promises its own investors daily liquidity and holds such shares has a problem that no risk model built on daily returns will have measured (Figure 12.1).

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Definition 18.6 Markets I: The Ecosystem and Exchange-Traded Markets · الفصل 18 — Futures Contracts and Their Exchanges

On a future, a price limit (for shares, Definition 12.2) is a bound, set by the exchange relative to a reference price, beyond which the contract may not trade during a session or a part of it; reaching it may trigger a halt.

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