标题： 高频数据的边距设置1 显示英文标题

标题： Margin setting with high-frequency data1

摘要： 在实践和学术文献中，用于设定期货市场保证金要求的模型通常使用每日收盘价变动。 然而，正如高频数据研究中所详细记录的那样，金融市场最近表现出较高的日内波动性，这可能带来比预期更多的风险。 本文试图回答保证金委员会在实践中关注的两个问题：基于收盘价计算保证金水平并忽略日内动态是否正确？实施日内保证金追加是否合理？ 本文重点研究市场价格的日内动态对每日保证金水平的影响。 每日保证金水平有两种获取方式：首先，通过使用不同时间间隔定义的每日价格变动（例如，从当天下午3点到下一个交易日的下午3点，而不是传统的收盘时间）；其次，通过使用5分钟和1小时的价格变动，并将结果缩放为一天。 我们的实证分析使用了在伦敦国际金融期货交易所（LIFFE）交易的富时100指数期货合约。 显示英文摘要

摘要： Both in practice and in the academic literature, models for setting margin requirements in futures markets classically use daily closing price changes. However, as well documented by research on high-frequency data, financial markets have recently shown high intraday volatility, which could bring more risk than expected. This paper tries to answer two questions relevant for margin committees in practice: is it right to compute margin levels based on closing prices and ignoring intraday dynamics? Is it justified to implement intraday margin calls? The paper focuses on the impact of intraday dynamics of market prices on daily margin levels. Daily margin levels are obtained in two ways: first, by using daily price changes defined with different time-intervals (say from 3 pm to 3 pm on the following trading day instead of traditional closing times); second, by using 5-minute and 1-hour price changes and scaling the results to one day. Our empirical analysis uses the FTSE 100 futures contract traded on LIFFE.