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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.
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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
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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
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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
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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
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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
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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
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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
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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
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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
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