Sornette, Didier; Ulmann, Florian Michael Till; Wehrli, … - 2022
We investigate the feedback effect of option hedging activity on the stability of the price of the underlying. While … previous literature has focused on the effect of hedging activity on the volatility of the underlying, this paper focuses on … delta hedging and couple the predictions of this model with an approach to identify short-lived, locally explosive trends in …