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 language | English |
|---|---|
| Pages (from-to) | 83-99 |
| Number of pages | 17 |
| Journal | Pacific Basin Finance Journal |
| Volume | 9 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - Apr 2001 |
| Externally published | Yes |
Keywords
- Barings bank
- Doubling
- G13
- G28
- Nick Leeson
Cite this
Brown, S. J., & Steenbeek, O. W. (2001). Doubling: Nick Leeson's trading strategy. Pacific Basin Finance Journal, 9(2), 83-99. https://doi.org/10.1016/S0927-538X(01)00004-X