A Model of Price Impact and Fire Sales in Crowded Trades
A model of factor crowding shows that forced exits amplify shocks up to sixfold and shift crowding costs from average returns into tail losses.
Featured in No. 136 on 23 Oct 2026 · 3 days after release
- Released
- 20 Oct 2026
- First featured
- No. 136 · 23 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 3 of 5
- Identifier
- SSRN 7638998
- Authors
- Ludwig B. Chincarini
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).