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...

We study the dynamics of liquidity around jumps by identifying their exact intraday timing and retrieve all macroeconomic and firm-specific news for the 30 constituents of the Dow Jones Industrial Average index. We match around a third of the jumps with macroeconomic news announcements, while...

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...