{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,10,28]],"date-time":"2025-10-28T03:19:30Z","timestamp":1761621570115,"version":"build-2065373602"},"reference-count":48,"publisher":"MDPI AG","issue":"3","license":[{"start":{"date-parts":[[2021,3,12]],"date-time":"2021-03-12T00:00:00Z","timestamp":1615507200000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"funder":[{"name":"Dutch Econophysics Foundation (Stichting Econophysics, Leiden, the Netherlands)","award":["12345"],"award-info":[{"award-number":["12345"]}]},{"name":"EU project SoBigData++","award":["871042"],"award-info":[{"award-number":["871042"]}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Entropy"],"abstract":"<jats:p>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.<\/jats:p>","DOI":"10.3390\/e23030336","type":"journal-article","created":{"date-parts":[[2021,3,12]],"date-time":"2021-03-12T11:56:55Z","timestamp":1615550215000},"page":"336","update-policy":"https:\/\/doi.org\/10.3390\/mdpi_crossmark_policy","source":"Crossref","is-referenced-by-count":5,"title":["Crowded Trades, Market Clustering, and Price Instability"],"prefix":"10.3390","volume":"23","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-6069-0192","authenticated-orcid":false,"given":"Marc","family":"van Kralingen","sequence":"first","affiliation":[{"name":"Aegon N.V., Aegonplein 50, 2591 TV Den Haag, The Netherlands"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-6035-1783","authenticated-orcid":false,"given":"Diego","family":"Garlaschelli","sequence":"additional","affiliation":[{"name":"Lorentz Institute for Theoretical Physics, Leiden University, Niels Bohrweg 2, 2333 CA Leiden, The Netherlands"},{"name":"IMT School of Advanced Studies, Piazza S. Francesco 19, 55100 Lucca, Italy"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-3684-7911","authenticated-orcid":false,"given":"Karolina","family":"Scholtus","sequence":"additional","affiliation":[{"name":"Econometric Institute, Erasmus University Rotterdam, Burg. Oudlaan 50, 3062 PA Rotterdam, The Netherlands"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-6925-5525","authenticated-orcid":false,"given":"Iman","family":"van Lelyveld","sequence":"additional","affiliation":[{"name":"Data Science Hub, De Nederlandsche Bank, Spaklerweg 4, 1096 BA Amsterdam, The Netherlands"},{"name":"Department of Finance, VU Amsterdam, De Boelelaan 1105, 1081 HV Amsterdam, The Netherlands"}]}],"member":"1968","published-online":{"date-parts":[[2021,3,12]]},"reference":[{"key":"ref_1","doi-asserted-by":"crossref","first-page":"1099","DOI":"10.1111\/jofi.12149","article-title":"Connected Stocks","volume":"69","author":"Anton","year":"2014","journal-title":"J. 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