This paper documents that crowding by market participants affects the expected return to popular factor strategies such as value, momentum, and carry. Using data published by the CFTC for commodity futures markets, we construct a direct measure of factor strategy crowding that is based on the...

This paper examines the contribution of closing pressure and predatory trading to the formation of the negative settlement price of NYMEX West Texas Intermediate (WTI) Crude Oil futures on April 20, 2020. We construct a theoretical model and show that the eagerness to close long positions,...