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Stefan's Blog
Follow the blogs of our expert Stefan Schlamp, Head of Quantitative Analytics, about recent trends and developments in the market.
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Stefan's blog: How Much Liquidity Is Enough? About 10 MEUR.
Is there some point beyond which the marginal utility of additional liquidity becomes (close to) zero? Was a trade in the historical data ... More
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Stefan's blog: Of the Consolidated Tape and Airbags
The European Consolidated Tape will come. Personally, I would have preferred a post-trade tape, but: it is what it is - this ship has sailed. I do ... More
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Stefan's blog: Big Boy Pants 2026Q1
It is this time of the year again where we review some of the more noteworthy trades of the previous quarter. More
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Stefan's blog: Delegated Pulls - With Numbers
Obtaining good queue position when market making is only part of the puzzle. Once an order is in the limit order book, one has to decide every ... More
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Stefan's blog: Eight Orders Of Magnitude
The Clearstream Geographical Holdings dataset has received a major upgrade recently. Previously, data only included holdings with the ... More
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Stefan's blog: The Latency Sickle
Deutsche Börse's T7 platform operates on a strict public-before-private data dissemination principle. Information is always sent out first in the ... More
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Stefan's blog: Mo' Volatility, Mo' Option Volume
How does option volume compare to that of futures? One narrative is that when things get volatile (a lot of volume) then there is (relatively) ... More
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Stefan's blog: Are Busy Days Just Quiet Days With More Volume?
In a few weeks (from the time of writing), the new version of our HHI (Herfindahl-Hirschman index) dataset will be releases. It provides ... More
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Stefan's blog: Liquidity Picture vs. ADV
Suppose all trades in a stock only trade part of the liquidity available at the BBO. More size would have been available, but it was not taken. More
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Stefan's blog: Collusion or Just Pricing?
A recent study found "collusion" between ETF market makers on Euronext. The hypothesis and methodology are actually pretty cool. The authors ... More
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