The empirical results show that the difference of liquidity risks of different futures is significant, the improved margin levels can cover price and liquidity risks of the futures market.

  • 为此,通过建立流动性风险调整后的保证金优化设置模型,使所设置的保证金水平能够涵盖整个期货市场的价格风险与流动性风险。

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