Doubling: Nick Leeson's trading strategy

Stephen J. Brown, Onno W. Steenbeek

Research output: Contribution to journalArticleResearchpeer-review

16 Citations (Scopus)

Abstract

This paper examines the trading strategy attributed to Mr. Nicholas Leeson, who was the chief derivatives trader of Barings bank in Singapore. His activities were the main cause of the eventual collapse of Barings bank. Daily information is available for the full period Leeson was active in Singapore, from January 1992 until 1995, for all relevant products. The information includes daily volume, open interest, opening, closing, highest and lowest price. The empirical evidence suggests that Leeson followed a doubling strategy: he continuously doubled his position as prices were falling.

Original languageEnglish
Pages (from-to)83-99
Number of pages17
JournalPacific Basin Finance Journal
Volume9
Issue number2
DOIs
Publication statusPublished - Apr 2001
Externally publishedYes

Keywords

  • Barings bank
  • Doubling
  • G13
  • G28
  • Nick Leeson

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