期貨市場的每日結算制度目的在提供一低成本的信用保證。若價格走勢與投資者預期相反，此投資者須當日以現金補足價虧之數目。此制度使投資者免於對方拒不履約的風險。但它亦可能引發個人流利性不足的風險。本文應用現金管理原則及連續性時間隨機程序模型。求得一期初最適額之現金，以應付每日結算。若此帳戶枯竭，則在付出一固定成本後，可從一較高利率之定存帳戶移轉現金補充前一帳戶至期初最適額。依本模型操作可使避險者或投機者專注於其投資組合而不虞每日結算流動性風險之困擾。

Futures trading is characterized by marking-to-market. Each trading day the losing party, be it the buyer or seller of the contract, must pay the full amount of the futures price change occurring that day. When prices move consistently against a trader s positions, marking-to-market can cause liquidity problem. Such a trader may then be forced out of the desired contracts. This paper applies a principle of cash management to solve the liquidity pro-blem. An optimal initial working capital is derived using the theory of stochas-tic processes. Whenever exhausted, it would be replenished from a better-earning source to the initial optimal level. This approach differs from a current study, as it allows traders to trade indefinitely.