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Stefan's Blog

Verfolgen Sie die Blogs unseres Experten Stefan Schlamp, Head of Quantitative Analytics, über aktuelle Trends und Entwicklungen auf dem Markt.

12 Ergebnisse
  1. Stefan's blog: Quantifying Adverse Selection Apples-to-Apples


    When comparing aggressive and passive markouts, one faces a compositional bias; participants trading passively could be different from those ... Mehr

  2. Stefan's blog: Market Concentration Cash vs. Future


    As of today, there are 144 trading participants on Xetra and 247 on Eurex. Not all of them are equally active, obviously. Mehr

  3. Stefan's blog: Trades > Cancels > Inserts


    Trades by far have the most signal value; someone spent real money to cross the spread plus exchange fees. Mehr

  4. Stefan's blog: Back-Level Orders - What Have They Ever Done For Us?


    One sees a lot of order inserts away from the top level, sometimes pretty far away. Why? Mehr

  5. Stefan's blog: Buzz ≠ FizzBuzz - Fizz


    The Eurex T7 Trading Platform has a cool feature called "Synthetic Matching": Suppose you want to buy 1 Fizz ... Mehr

  6. Stefan's blog: Competitiveness of Stocks vs. ETF vs. Options vs. Futures


    Markouts and reaction times are two methods to measure how competitive the trading in an instrument is. Mehr

  7. Stefan's blog: Close and Sometimes a Cigar


    The race to the matching engine comprises a few stages. The first covers the outgoing market data’s path from the matching engine to the ... Mehr

  8. Stefan's blog: Many a Mickle Makes a Muckle


    There is a tendency for traders to only focus on a small set of the most liquid instruments. Unfortunately, this is what everybody else also thinks. Mehr

  9. Stefan's blog: N ≥ 4


    The high-precision timestamp (HPT) files from Eurex make it possible to infer the reaction time behind every order insert (including those leading ... Mehr

  10. Stefan's blog: How Much Liquidity Do You Need? – Yes.


    There are three daily scheduled auctions for equities on Xetra – an opening auction from 08:50 to 09:00, an intraday auction from 13:00 to 13:02 ... Mehr