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Les strategies de "Stop Loss" : Theorie et application au contrat notionnel du MATIF

Author

Listed:
  • Bernard Bensaid
  • Olivier de Bandt

Abstract

Pour expliquer l'existence de règles de "stop-loss" dans les institutions financiéres, nous développons un mod le principal-agent, o une firme d'investissement (le principal) doit faire appel à l'expertise d'un opérateur (l'agent) pour investir dans un actif risqué et sophistiqué (par exemple, un contrat à terme). Quand l'opérateur a une "responsabilité limitée", nous montrons que la firme d'investissement peut accroitre ses gains en s'engageant à mettre en place des règles de "stop-loss", c'est-à-dire à liquider la position de l'opérateur quand ses résultats sont mauvais. En utilisant des données journali res sur les positions individuelles sur le Contrat Notionnel du Matif, nous trouvons certains l ments en faveur d'une des conclusions testables du mod le, savoir que les positions sont plus souvent liquiDees lorsque les pertes sont importantes. Il ressort de l'analyse empirique que plus de 20 % des comptes utilisent des strat gies de ce type.

Suggested Citation

  • Bernard Bensaid & Olivier de Bandt, 1996. "Les strategies de "Stop Loss" : Theorie et application au contrat notionnel du MATIF," Working papers 36, Banque de France.
    • Handle: RePEc:bfr:banfra:36
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    References listed on IDEAS

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    Cited by:

    1. Fotini Economou & Konstantinos Gavriilidis & Bartosz Gebka & Vasileios Kallinterakis, 2022. "Feedback trading: a review of theory and empirical evidence," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 15(4), pages 429-476, February.
    2. Carol L. Osler, 2001. "Currency orders and exchange-rate dynamics: explaining the success of technical analysis," Staff Reports 125, Federal Reserve Bank of New York.
    3. Tanseli Savaser, 2007. "Exchange Rate Response to Macro News: Through the Lens of Microstructure," Department of Economics Working Papers 2007-02, Department of Economics, Williams College.
    4. John A. Carlson & Christian M. Dahl & Carol L. Osler, 2008. "Short-run Exchange-rate Dynamics: Theory And Evidence," Working Papers 39, Brandeis University, Department of Economics and International Business School.
    5. Carol L. Osler, 2006. "Macro lessons from microstructure," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(1), pages 55-80.
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    Keywords

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    JEL classification:

    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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