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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: Intraday vs. Overnight Volatility
Volatility (σ²) grows linearly with time. I remember verifying this as an exercise over different intraday timescales a long time ago. More
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Stefan's blog: Inconsequential Orders a/k/a Order Book Noise
It has been a year since I mentioned a particularly obvious example of order book noise. This time, I would like to quantify this somewhat more ... More
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Stefan's blog: If You're Dumb You Gotta be Fast
The simplest, most obvious strategies also tend to be the most competitive - exactly because they are simple and obvious. The prime example on ... More
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Stefan's blog: Everything Is Bigger in Illinois
One nice feature of doing research with tick-level data is that one does not have to worry about whether one has to divide by N or (N-1). More
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Stefan's blog: What Lies Beneath
The typical use case for Deutsche Börse's High-Precision Timestamp file service is to analyze one's own or the market's reaction times to market ... More
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Stefan's blog: Stop Market Order Slippage
Stop(-loss) orders seem to be a popular risk management tool for retail investors - and they are almost exclusively used by retail investors. More
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Stefan's blog: Prevalence of Resting Market Orders
The EOBI Execution Summary message includes a field RestingHiddenQty... – Stefan is using the data from our A7 Analytics Platform More
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Stefan's blog: Mid Changes - When and How
Stefan shows the distribution of the interval between consecutive mid changes - split by the mechanism of the start-of-interval and the ... More
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Stefan's blog: Intraday Short-Wave Triggers
One would expect little influence of the open US markets while Europe is is closed. – Stefan is using the data from our A7 Analytics Platform. More
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Stefan's blog: FGBL at 20230706T14:00:00.000055836Z
After seeing James Sewell's post on the market reaction to the 20230706 14:00Z release of the ISM (Institute of Supply Management) Services PMI ... More
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