Doubling: Nick Leeson's Trading Strategy

26 Pages Posted: 13 Nov 2008

See all articles by Stephen J. Brown

Stephen J. Brown

New York University - Stern School of Business

Onno W. Steenbeek

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE); APG All Pensions Group

Date Written: 2000

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.

Suggested Citation

Brown, Stephen J. and Steenbeek, Onno W., Doubling: Nick Leeson's Trading Strategy (2000). NYU Working Paper No. FIN-00-058, Available at SSRN: https://ssrn.com/abstract=1300736

Stephen J. Brown

New York University - Stern School of Business ( email )

Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States
212-998-0306 (Phone)
212-995-4233 (Fax)

Onno W. Steenbeek

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) ( email )

Dept. of Finance, H14-1
P.O. Box 1738
3000 DR Rotterdam, 3000DR
Netherlands
+31-10-4081400 (Phone)
+31-10-4089165 (Fax)

HOME PAGE: http://people.few.eur.nl/steenbeek/

APG All Pensions Group ( email )

Gustav Mahlerplein 3
P.O. Box 75283
1070 AG Amsterdam
Netherlands
+31-20-6049122 (Phone)
+31-20-4059176 (Fax)

HOME PAGE: http://www.apg.nl

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
753
Abstract Views
3,477
rank
36,139
PlumX Metrics