The paper analyses the risk reduction effect of limits which are imposed on price movements. As a result of the maximisation of the traders' utility functions subject to expected price constraints, a model similar ro the capital asset pricing model (CAPM) is developed, where the observed returns...

Empirical distributions of the studentized Augmented Dicky-Fuller cointegration statistic for data generated by simulation are analyzed for small samples. Empirical 1 percent, 5 percent and 10 percent fractiles are tabulated for various sample sizes and various numbers of regressors. It is found...