论文标题
拥挤的交易，市场集群和价格不稳定
Crowded trades, market clustering, and price instability
论文作者
论文摘要
拥挤的交易通过类似的交易同行会影响资产价格的动态，可能会造成系统性风险。我们建议使用颗粒状交易数据进行市场聚类措施。对于每种股票，聚类措施捕获了该股票中任何两个投资者之间的交易重叠程度。我们调查了拥挤的行业对股票价格稳定的影响，并表明市场聚类对股票回报分配的尾巴的特性（尤其是正面尾巴）具有因果关系，即使在控制了普遍认为的风险驱动因素之后。因此，减少的投资者池多样性可能会对股票价格稳定产生负面影响。
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. We investigate the effect of crowded trades on stock price stability and show that market clustering has a causal effect on the properties of the tails of the stock return distribution, particularly the positive tail, even after controlling for commonly considered risk drivers. Reduced investor pool diversity could thus negatively affect stock price stability.
