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Quantitative Finance · Glossário

O que é Short-crowding measure?

Definition 8.3 Strategies I: Equities and Futures · Capítulo 8 — Short Interest, Borrow and Crowding

A short-crowding measure scores how many short sellers are in a stock relative to what they can get out through, combining short interest, utilisation of lendable supply and days to cover.

The book short the twenty most crowded synthetic names (-0.5 of capital): its actual return over the five days after each month-end, and its loss in the squeeze stress, over 96 month-ends. Data: s1_lending.squeeze.
Figure 8.2. The book short the twenty most crowded synthetic names (−0.5-0.5 of capital): its actual return over the five days after each month-end, and its loss in the squeeze stress, over 96 month-ends. Data: s1_lending.squeeze.
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