Crowded Trades, Market Clustering, and Price Instability

Crowded trades by similarly trading peers influence the dynamics of asset prices, possibly creating systemic risk. We propose a market clustering measure using granular trading data. For each stock, the clustering measure captures the degree of trading overlap among any two investors in that stock,...

Descripción completa

Detalles Bibliográficos
Autores principales: van Kralingen, Marc, Garlaschelli, Diego, Scholtus, Karolina, van Lelyveld, Iman
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8000620/
https://www.ncbi.nlm.nih.gov/pubmed/33809151
http://dx.doi.org/10.3390/e23030336

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8000620/
https://www.ncbi.nlm.nih.gov/pubmed/33809151
http://dx.doi.org/10.3390/e23030336

Ejemplares similares