Margin Requirements, Bond Futures Prices and Volatilities
Bibliographic record
Abstract
Using a partial equilibrium model where the margin level is defined to be equivalent to the settlement interval, we show that the effects of the margin requirement on both prices and price volatilities of bond futures depend on the autoregressive covariance structure of the interest rate process and on the margin level. While such effects are predictable, they may reverse themselves during the life of the futures contract. This result may explain the prolonged and unresolved debate in the literature about the empirical relationship between margin levels and volatility. This result confirms in part and generalizes the theoretical results of Hartzmark (1986) and Kupiec and Sharpe (1991). We also show by using simulations that margin requirements, as proxied by the settlement interval, have a positive effect on volatility and futures prices, and that they induce a leverage effect. Other results are that the futures price decreases with volatility, and that futures on longer term bonds have higher volatility. Margin Requirements, Bond Futures Prices and Volatilities
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.010 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.000 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.002 | 0.002 |
| Open science | 0.000 | 0.001 |
| Research integrity | 0.001 | 0.001 |
| Insufficient payload (model declined to judge) | 0.002 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".