This is a summary of links featured on Quantocracy on Monday, 06/15/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Order Flow Correlation May Imply Momentum Factor Crowding [Alpha Architect]This study is one of several studies reviewed here and here, attempting to measure factor crowding. This article specifically examines the presence of factor crowding by estimating the correlation between market order flow with the magnitude of the factor signal to trade. They hypothesize that factor crowding can be identified via the correlations associated with supply-demand imbalances where