Zooming in on equity factor crowding

A measure for crowding in trades is derived from supply and demand imbalances


Crowding is most likely an important factor in the deterioration of strategy performance, the increase in trading costs and the development of systemic risk. Valerio Volpati et al study the impact of crowding on both anonymous market data and a large database of metaorders from institutional investors in the US equity market. They propose direct metrics of crowding that capture the presence of investors contemporaneously trading the same stock in the same

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here