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 …

-dependent options and options on assets with stochastic volatility and jumps. " …

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 …

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 …

about both market volatility and trading activity …

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 …

We propose implied spreads (IS) and normalized implied spreads (NIS) as simple measures to characterize option prices …. IS is the credit spread of an option's implied bond, the portfolio long a risk-free bond and short a put option. NIS … bond returns, while neither, like implied volatility, predicts put returns. These opposite predictability results are …