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Quantitative Finance · Glosario

¿Qué es Price limit?

Definition 12.2 Markets I: The Ecosystem and Exchange-Traded Markets · Capítulo 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 $+0.09$ against zero. Data: the tutorial’s simulation.

Ejemplos

Example 12.4 (Falls take longer)

With $L = 10\%$ a rise of 50% needs $\lceil 4.25\rceil = 5$ days, four of them locked. A fall of 50% needs $\lceil \ln 0.5/\ln 0.9\rceil = \lceil 6.58\rceil = 7$ 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 · Capítulo 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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