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 directional instabilities arising from feedback...

Digital transformation will affect every company or organization sooner or later, regardless of the industry, country, or type of organization. In recent years, this impact has become disruptive, and there is an increasing need for companies to innovate their business models while using various...

We develop a new method that detects jumps nonparametrically in financial time series and significantly outperforms the current benchmark on simulated data. We use a long short- term memory (LSTM) neural network that is trained on labelled data generated by a process that experiences both jumps...