Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 22, 2023 erstellt
Beschreibung:
Day traders, traders for financial institutions, and corporate executives sometimes appear to do better than chance only because the risk of large losses is hidden or overlooked. As students of casino gambling know, one way to obscure the risk of large losses is to bet more when you are losing and less when you are winning. Casino betting strategies that did this were called martingales in the 19th century. Traders in financial instruments also sometimes martingale; in fact, they are martingaling whenever they respond to a margin call. The martingale index, defined in this paper, measures the portion of the apparent expected return of a gambling, trading, or investment strategy that can be attributed to martingaling. We calculate the martingale index for some popular casino strategies and also for some strategies that model random trading in S & P 500 futures and in stocks