Constant-collateral pyramiding trading strategies in futures markets
Financial Markets and Portfolio Management, 2013, vol. 27, issue 4, 381-396
This paper introduces constant-collateral pyramiding trading strategies, which can be implemented in the futures markets. For these strategies, expressions are derived for effective constraints on the number of futures contracts in the trader’s portfolio and on the trader’s wealth. Implications of the results are drawn regarding the degree of pyramiding adopted by a subgroup of noise traders who underestimate the probability of receiving a margin call when they engage in positive feedback strategies. Suggestions are made regarding how market regulators can use margin requirements to encourage these traders to adopt less aggressive pyramiding strategies. Copyright Swiss Society for Financial Market Research 2013
Keywords: Noise trading; Feedback trading; Margin-setting methodology; Constant-collateral pyramiding trading strategies; G11; G18 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:kap:fmktpm:v:27:y:2013:i:4:p:381-396
Ordering information: This journal article can be ordered from
http://www.springer. ... nt/journal/11408/PS2
Access Statistics for this article
Financial Markets and Portfolio Management is currently edited by Manuel Ammann
More articles in Financial Markets and Portfolio Management from Springer, Swiss Society for Financial Market Research Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla ().