Crowded Trades, Market Clustering, and Price Instability.

Entropy (Basel) · 2021 · PMC8000620 · PMID 33809151

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marginally significantno p-value reported

CLUST has marginally significant positive correlations with changes in downside risk and upside potential, i.e., Δ VaR and Δ VaL , of 0.018 and 0.020 , respectively. Δ VaR and Δ VaL are also strongly correlated with VIX.

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a positive trendno p-value reported

We find an indication that the homogeneity of the investors’ pool per stock increases if there is a positive trend in the market or increase in aggregate volatility.

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