PT  - JOURNAL ARTICLE
AU  - Christian Lundström
TI  - Optimal Leverage in Day Trading
AID  - 10.3905/jot.2018.1.062
DP  - 2018 Mar 10
TA  - The Journal of Trading
PG  - jot.2018.1.062
4099  - https://pm-research.com/content/early/2018/03/13/jot.2018.1.062.short
4100  - https://pm-research.com/content/early/2018/03/13/jot.2018.1.062.full
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.