We study in details the skew of stock option smiles, which is induced by the so-called leverage effect on the underlying -- i.e. the correlation between past returns and future square returns. This naturally explains the anomalous dependence of the skew as a function of maturity of the option....

We revisit the "Smile Dynamics" problem, which consists in relating the implied leverage (i.e. the correlation of the at-the-money volatility with the returns of the underlying) and the skew of the option smile. The ratio between these two quantities, called "Skew-Stickiness Ratio" (SSR) by...

The notion of market impact is subtle and sometimes misinterpreted. Here we argue thatimpact should not be misconstrued as volatility. In particular, the so-called “square-root impactlaw”, which states that impact grows as the square-root of traded volume, has nothing todo with price...

We study the conditions under which input-output networks can dynamically attain competitive equilibrium, where markets clear and profits are zero. We endow a classical firm network model with simple dynamical rules that reduce supply/demand imbalances and excess profits. We show that the time...