关键词: 涨跌停板, 自履行合约, 极值理论

Abstract: The price limits system is one of the key mechanism in futures market.A high level of price limits is not conductive to inhibit sharp pricefluctuation,while a low one may hinder the price discovery Although the daily price limits system has been widely used in futures exchange,previous studies about how to set up a daily limit range are not enough to be practical.This paper establishes a model for setting reasonable price limits range on the basis of Self-enforcing Contract Theory and Extreme Value Theory.The model obtains a reasonable limits range from the relationship between limits range and the level of margins.It also modifies the normal distribution assumption of futures returns in previous models through Extreme Value Theory.At last,this model is applied to estimate the price limits range of China's copper and rubber futures.

Key words: price limits, self-enforcing contract theory, extreme value theory