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...

Financial markets display a host of universal “stylized facts” begging for a scientific explanation: Excess volatility, fat tails, and clustered activity are well known and have been studied for many years. More microstructural stylized facts have recently emerged, for example the long...