risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while … uncertainty. The results dictate the role of uncertainty and volatility in structural models and we show they are consistent with …

pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the … option. Similarly, the demand pressure increases the price of any other option by an amount proportional to the covariance of … show that demand-pressure effects help explain well-known option-pricing puzzles. First, end users are net long index …

, right skew is low, and option maturity is short. The portfolios include mostly calls and positions are overwhelmingly short …

We perform an experimental study of complexity to assess its effect on trading behavior, price volatility, liquidity …. Complexity altered subjects' bidding strategies, decreased liquidity, increased price volatility, and decreased trade efficiency … complex treatment. Our analysis suggests that complexity may be a driver of volatility and liquidity in financial markets and …

about both market volatility and trading activity …

Major events often trigger abrupt changes in stock prices and volatility. We study the implications of jumps in prices … and volatility on investment strategies. Using the event-risk framework of Duffie, Pan, and Singleton (2000), we provide … become illiquid and the optimal strategy blends both dynamic and buy-and-hold strategies. Jumps in prices and volatility both …

High volatility and high beta stocks tilt strongly to small, unprofitable, and growth firms. These tilts explain the … the abnormal performance of defensive equity (i.e., low volatility and/or low beta strategies). While defensive strategy …

Investors in option markets price in a substantial collective government bailout guarantee in the financial sector …

. Although pre-crash option prices conform to the Black-Scholes-Merton model reasonably well, they are incorrectly priced if the …

We document that the implied volatility skew of S&P 500 index puts is non-decreasing in the disaster index and risk …-the-money puts, thereby steepening the implied volatility skew and resolving the puzzle. Consistent with the data, the model also …