2000
Stephen J. Brown, and Onno W. Steenbeek
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.
Stephen J. Brown
Institution: Stern School of Business, New York University
Email: sbrown@stern.nyu.edu
Telephone: (212) 998-0306
Onno W. Steenbeek
Institution: Department of Finance, Erasmus University, Rotterdam, The Netherlands
Email: steenbeek@few.eur.nl
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