Follow the blogs of our expert Stefan Schlamp, Head of Quantitative Analytics, about recent trends and developments in the market.
Stefan introduces a methodology to decompose a market making strategy’s performance using the data of A7. More
In general, predictions become worse (lower accuracy) with increasing prediction horizon. Price momentum & reversion is a good demonstration for this. More
We look at the effect that PLP (Passive Liquidity Protection) has on the trading in DAX index options. (Data: A7, Eurex HPT, and internal data.) More
We look at a few recent or ongoing share buyback programs of DAX constituents and discuss day-to-day variation is purchase volume. More
The used data itself is internal, but it describes the use case of the Xetra Auction Simulator on A7 which is already in prod so we should add it ... More
9 Nov 2020 the positive trials of the Covid vaccine were announced. The price moved up under heavy volume by almost 6% over a 30-min period. This ... More
Xetra offers a T+1 file service with the Herfindahl-Hirschman Index (HHI) for all domestic cash equities traded on Xetra. In short, the HHI is a ... More
Share this page