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I'm looking to research special trading phenomena like end-of-month bonds activity, daily closing imbalances in cash equities, futures expiration/settlement manipulation (like in VIX) etc. What are some other interesting phenomena? I have access to all kinds of hft data so that won't be a problem.

bloodynri
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    if you have access to HF data, how to calculate and use (eg, annualize from different frequencies) intraday volatility could be interesting (and useful). It has real-world implications and is very much an unclosed case. – Chris Feb 25 '20 at 19:05

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