Margin Treasury

The Margin Treasury (MT) is a risk constraint designed to capture the short-term volatility of asset prices. It is defined as the 95th percentile of the 5-minute price change distribution, serving as a threshold that should not be breached under normal conditions.

Technical Details:

• Calculation: $MT = Q(5m)_{0.95}$ Here, $Q(5m)_{0.95}$​ represents the 95th percentile of price changes over a 5-minute window.

• Purpose: The Margin Treasury acts as a buffer against sudden, extreme price movements. If the price change exceeds this threshold, it signals that market conditions are unusually volatile, prompting risk mitigation action such as emergency deleverage.