van Kralingen Marc, Garlaschelli Diego, Scholtus Karolina, van Lelyveld Iman
Aegon N.V., Aegonplein 50, 2591 TV Den Haag, The Netherlands.
Lorentz Institute for Theoretical Physics, Leiden University, Niels Bohrweg 2, 2333 CA Leiden, The Netherlands.
Entropy (Basel). 2021 Mar 12;23(3):336. doi: 10.3390/e23030336.
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, based on a comparison with the expected crowding in a null model where trades are maximally random while still respecting the empirical heterogeneity of both stocks and investors. We investigate the effect of crowded trades on stock price stability and present evidence 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.
交易行为相似的同行进行的拥挤交易影响资产价格动态，可能会产生系统性风险。我们提出一种使用粒度交易数据的市场聚类度量方法。对于每只股票，该聚类度量方法基于与一个零模型中预期拥挤程度的比较，捕捉该股票中任意两个投资者之间的交易重叠程度，在这个零模型中交易是最大程度随机的，同时仍考虑到股票和投资者的经验异质性。我们研究了拥挤交易对股价稳定性的影响，并给出证据表明，即使在控制了通常考虑的风险驱动因素之后，市场聚类对股票回报分布尾部的特征，尤其是正尾部，具有因果效应。投资者群体多样性的降低可能会对股价稳定性产生负面影响。
