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Clearing prices under margin calls and the short squeeze [pdf]

2 点作者 vitorsr超过 4 年前

1 comment

vitorsr超过 4 年前
Worth the read if you&#x27;re into q-fin and also curious with respect to the recent events.<p>The take-home message is that the author proposes a simple principled formulation for the size of short squeezes.<p>Here&#x27;s a noteworthy example.<p>&gt; Example 5.1. [GameStop Corp.] . . . we find that . . . the price would jump by more than 1900% due to a short squeeze. With a price per share of approximately $17&#x2F;share prior to the short squeeze, we would anticipate a sudden jump in prices to over $340&#x2F;share due to the short squeeze. This is consistent with price movements observed in early 2021 leading up to a spike in prices on January 27, 2021.