We analyse all Mini Flash Crashes (or Flash Equity Failures) in the US equity markets in the four most volatile months during 2006-2011. In contrast to previous studies, we find that Mini Flash Crashes are the result of regulation framework and market fragmentation, in particular due to the...

The study determines if information extracted from a big data set that includes limit order book (LOB) and Dow Jones corporate news can help to improve realised volatility forecasting for 23 NASDAQ tickers over the sample from 28 June 2007 to 17 November 2016. The out-of-sample forecasting...

This study documents a positive relationship between the option-implied risk-neutral skewness (RNS) of individual stock returns' distribution and future realized stock returns during the period 1996-2012. A strategy that is long the quintile portfolio with the highest RNS stocks and short the...