Federal ID: 91-6001537
ISSN: 0022-1090 (Print) | 1756-6916 (Online)
Trading in Crowded Markets
Albert S. Kyle, Anna A. Obizhaeva, and Yajun Wang ♦ 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…