Optimal margins and price limits for future contracts
| buir.advisor | Fadıloğlu, M. Murat | |
| dc.contributor.author | Poyraz, Altay Emre | |
| dc.date.accessioned | 2016-01-08T18:05:28Z | |
| dc.date.available | 2016-01-08T18:05:28Z | |
| dc.date.issued | 2008 | |
| dc.department | Department of Industrial Engineering | en_US |
| dc.description | Ankara : The Department of Industrial Engineering and and the Institute of Engineering and Sciences of Bilkent University, 2008. | en_US |
| dc.description | Thesis (Master's) -- Bilkent University, 20068 | en_US |
| dc.description | Includes bibliographical references leaves 46-49. | en_US |
| dc.description.abstract | Along with price limits, the margin mechanism ensures the integrity of futures markets. Exchanges face a trade-off between setting higher margin levels to protect the market from possible defaults and setting lower margin levels to make the market attractive to customers. In this thesis we develop a model to determine optimal margins and price limits for futures contracts, which minimizes the liquidity and margin costs to the traders while protecting the market from disruptions. Our model allows asymmetry between upper and lower price limits consequently between margins for long and short positions. We also provide a model, which is valid in the absence of price limits, to determine optimal margins and compare it with our previous model with price limits. The suggested model is applied to canola futures contract traded in Winnipeg Commodity Exchange (WCE) and comparable results to actual margin levels imposed by the exchange are obtained. | en_US |
| dc.description.degree | M.S. | en_US |
| dc.description.statementofresponsibility | Poyraz, Altay Emre | en_US |
| dc.format.extent | x, 49 leaves | en_US |
| dc.identifier.uri | http://hdl.handle.net/11693/14702 | |
| dc.language.iso | English | en_US |
| dc.publisher | Bilkent University | en_US |
| dc.rights | info:eu-repo/semantics/openAccess | en_US |
| dc.subject | Margin setting | en_US |
| dc.subject | GARCH estimation | en_US |
| dc.subject | censored observations | en_US |
| dc.subject | futures markets | en_US |
| dc.subject | price limits | en_US |
| dc.subject.lcc | HG6024.A3 P69 2008 | en_US |
| dc.subject.lcsh | Futures market--Mathematical models. | en_US |
| dc.subject.lcsh | Financial futures--Mathematical models. | en_US |
| dc.subject.lcsh | Commodity exchanges. | en_US |
| dc.title | Optimal margins and price limits for future contracts | en_US |
| dc.type | Thesis | en_US |
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