摘要
给出了期货交易中测定风险大小—风险率的新计算公式，导出了它与价位、头寸、保证金率、涨跌停板率等之间的函数关系，据此界定了风险率的范围．通过对3个月交易资料的实际测算，提出当浮动盈亏B＜0时．风险率R≤75％为安全区．75％＜R＜100％为警戒区，R≥100％为危险区．追加保证金和适量斩仓应以保证R≤75％为原则．
This paper gives a new risk rate formula for measuring the risk in futures trading, and gives the functional relations between risk rate and price, position, margin rate, trading limit rate, etc. In this basis, the range of risk rate is determined. According to the calculation of three months'trading data, the result is that whenB < 0, R ≤ 75% representing'safe', 75% < R < 100% representing'caution'and R ≥ 100 % representing 'danger', and keeping R ≤ 75% to be the principle of adding margin and forced liquidation.
出处
《北方工业大学学报》
1999年第1期5-9,共5页
Journal of North China University of Technology
