RT Journal Article
SR Electronic
T1 Optimal Leverage in Day Trading
JF The Journal of Trading
FD Institutional Investor Journals
SP jot.2018.1.062
DO 10.3905/jot.2018.1.062
A1 Christian Lundström
YR 2018
UL https://pm-research.com/content/early/2018/03/13/jot.2018.1.062.abstract
AB Day traders are likely to use leverage to increase their profits. This paper systematically analyzes the effect of leverage on profit when using a popular day-trading strategy, and clarifies the relation to two optimal leverage strategies proposed for maximizing trading profit: the Kelly criterion and the Optimal fraction criterion. Our empirical analysis shows how leverage can increase the profit in day trading.