This paper is devoted to the important yet unexplored subject of crowding effects on market
impact, that we call 'co-impact'. Our analysis is based on a large database of metaorders by
institutional investors in the US equity market. We find that the market chiefly reacts to the net
order flow of ongoing metaorders, without individually distinguishing them. The joint co-
impact of multiple contemporaneous metaorders depends on the total number of metaorders
and their mutual sign correlation. Using a simple heuristic model calibrated on data, we …

This paper is devoted to the important yet unexplored subject of crowding effects on market
impact, that we call" co-impact". Our analysis is based on a large database of metaorders by
institutional investors in the US equity market. We find that the market chiefly reacts to the net
order flow of ongoing metaorders, without individually distinguishing them. The joint co-
impact of multiple contemporaneous metaorders depends on the total number of metaorders
and their mutual sign correlation. Using a simple heuristic model calibrated on data, we …