Shanghai and Shenzhen 300 Stock Index Futures Margin Level Setting

摘要

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.