Harel, Arie; Harpaz, Giora; Yagil, Joseph - In: Journal of Futures Markets 25 (2005) 2, pp. 199-210
In a futures market with a daily priceālimit rule, trading occurs only at prices within limits determined by the previous day's settlement price. Price limits are set in dollars but can be expressed as return limits. When the daily return limit is triggered, the true equilibrium futures return...