Trading in Crowded Markets
研究了战略交易者可能错误判断市场拥挤程度，导致均衡策略和价格扭曲，拥挤市场易发生突然崩溃，并可通过价格错位和恢复速度推断交易者信念。
Abstract We study trading among strategic traders who may incorrectly assess the degree of market crowdedness. These mistakes distort equilibrium strategies and prices. When traders underestimate market crowdedness, they target larger inventories and trade more aggressively, but their actual profits are lower than expected because they underestimate the amount of information already impounded in prices. Crowded markets are prone to abrupt crashes. The magnitude of price dislocations and the speed of recovery during fire-sale events can help infer traders’ beliefs about market crowdedness.