Zooming in on equity factor crowding

Valerio Volpati, Zóltan Eisler, Iacopo Mastromatteo, Bence Tóth, Jean-Philippe Bouchaud, Michael Benzaquen
17 Nov 2020

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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

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