What happened to the quants in August 2007? Evidence from factors and transactions data

Amir E. Khandani, Andrew W. Lo · 2011 · Journal of Financial Markets

IntermediateIntradayLFTEmpiricalFree to read

A simple contrarian strategy lost heavily in August 2007 as crowded quant books deleveraged at once. Required reading on crowding risk.

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At a glance

Level: Intermediate: Comfortable with statistics, regressions and basic probability models
Horizon: Intraday, LFT
Data needed: Daily bars, Intraday bars Set what data you have
Themes: Stat arb Risk & portfolio
Assets: Equities
Market: US

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Cite

@article{khandani2011what,
  author = {Khandani, Amir E. and Lo, Andrew W.},
  title = {{What happened to the quants in August 2007? Evidence from factors and transactions data}},
  journal = {Journal of Financial Markets},
  year = {2011},
  doi = {10.1016/j.finmar.2010.07.005}
}

Khandani, A. E., & Lo, A. W. (2011). What happened to the quants in August 2007? Evidence from factors and transactions data. Journal of Financial Markets. https://doi.org/10.1016/j.finmar.2010.07.005