Have any new stylized facts of asset returns been discovered since 2001?

Question

In 2001 R.Cont stated in "Empirical properties of asset returns: stylized facts and statistical issues" article a set of stylized statistical facts which are common to a wide set of financial assets. The set was later reproduced with minor changes in "Encyclopedia of Quantitative Finance" in 2010.

Here is the set:

1. Absence of autocorrelations
2. Heavy tails
3. Gain/Loss assymetry
4. Aggregational Gaussianity (later renamed to "Aggregational normality")
5. Intermittency (later excluded from the set)
6. Volatility clustering
7. Conditional heavy tails
8. Slow decay of autocorrelation in absolute returns
9. Leverage effect
10. Volume/volatility correlation
11. Assymetry in time scales

Have any new candidates into the stylized facts set been discovered since then?

Answer 1

I think there has been established a strong argument for jumps (both in prices and volatility!). Jumps seem to matter a lot for explaining the distribution of volatility and price increments, as well as for option pricing. See Broadie, Chernov and Johannes (2007) link for further reference.