Using daily options prices on the Eurostoxx 50 stock index over the whole year 2008, we compare the performance of three popular stochastic volatility models (Heston, 1993; Bates, 1996; Heston and Nandi, 2'007, in addition to the traditional Black-Scholes model and a proprietary trading desk model. We...

In this paper, we investigate liquidity supply and demand around price jumps in a pure order driven stock market using a detailed tick frequency data set on the Euronext 100 index. The advantage of this database is to allow us to disentangle two major evolutions in European financial markets:...

In this paper, we investigate some predictable patterns in high frequency price jumps using trades, orders and quotes data on the Euronext 100 Index. A fixed volume chart allows us to control for trading volume effects and avoid non trading issues at high frequency aggregation. We detect jumps...

Are endogenous liquidity providers (ELPs) reliable in times of market stress? We examine the activity of a common ELP type – high frequency traders (HFTs) – around extreme price movements (EPMs). We find that on average HFTs provide liquidity during EPMs by absorbing imbalances created by...

We study the dynamics of liquidity and news releases around jumps by identifying their intraday timing for the Dow Jones Industrial Average index constituents. Jumps are found to coincide with a significant increase in trading costs and demand for immediacy, amplified by the release of news....

We find significant evidence of liquidity commonalities among cryptos, in particular when liquidity is estimated by relying on order-book-based proxies. Both the magnitude and pervasiveness of these co-movements are very similar to those estimated for US stocks 10 and 20 years ago. When we...