‘Market clustering’ can destabilise equity prices – DNB paper
Researchers present new measure to examine impact of trading overlap on equities
Falling diversity among equities investors could increase the instability of the shares they trade, a working paper published by the Netherlands Bank finds.
In Crowded trades, market clustering, and price instability, Marc van Kralingen, Diego Garlaschelli, Karolina Scholtus and Iman van Lelyveld present a new way to examine market dynamics in equities trading.
The authors use daily data on the equity transactions of 86 Dutch banks and investment firms from January 2009 to April 2015.
They
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