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Managing investment and liquidity risks for derivatives within a market impact perspective
2017
Insurance Markets and Companies
The recent period has experienced many instances when market volatility suddenly increased even when there were no well-known fundamental catalysts, as illustrated by the short-lived but sharp transitions from low volatility to high volatility, as many in the last six years as we have had in the prior two decades ‒ increasing evidence that we are in a new volatility-of-volatility regime. Fundamentally, market impact is an illustration of market inefficiency: theories of efficient markets
doi:10.21511/ins.08(1).2017.06
fatcat:pjuivk4xdvdzxkksclcuagtuka