A selection of papers presented at the second International Workshop on Financial Markets and Nonlinear Dynamics (FMND) which was organized in Paris on June 4–5, 2015 is published in this special issue of Studies in Nonlinear Dynamics and Econometrics. This international workshop organized every 2 years in Paris is designed to enable academics and professional economists and econometricians to discuss their latest research findings and the recent developments in financial econometrics, with a focus on nonlinear econometrics and high frequency data modeling. Accordingly, the selected papers of this issue discuss some challenging new topics of research using nonlinear and switching models. [...]