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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.

51 results
  1. Stefan's blog: Like Sitting Ducks

    Jun 3, 2024

    Paul Besson and Adam Matuszewski had looked at dark pool trades matched at stale prices. This latency arb between the primaries and dark pools is ... More

  2. Stefan's blog: Microwave Piggybacking

    May 28, 2024

    How much information does delayed data provide More

  3. Stefan's blog: No risk no fun!

    May 6, 2024

    Stefan Schlamp takes a look at the largest on-book trades on #Xetra and #Eurex during Q1 2024. More

  4. Stefan's blog: The fast and the furious

    May 6, 2024

    Stefan is using the data of our A7 analytics platform. More

  5. Stefan's blog: Delegated Pulls

    May 6, 2024

    Stefan introduces a methodology to decompose a market making strategy’s performance using the data of A7. More

  6. Stefan's blog: FPGA Latency Arbitrage Tax

    Apr 8, 2024

    Take a look at Stefan Schlamp’s latest blog article. More

  7. Stefan's blog: Learning From Losers

    Mar 25, 2024

    Take a look at Stefan Schlamp’s latest blog article. More

  8. Stefan's blog: Mid-Change Momentum and Reversal

    Mar 18, 2024

    In general, predictions become worse (lower accuracy) with increasing prediction horizon. Price momentum & reversion is a good demonstration for this. More

  9. Stefan's blog: Passive Liquidity Protection a/k/a Selective Speed Bump

    Mar 14, 2024

    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

  10. Stefan's blog: Xetra Auction Simulator

    Feb 26, 2024

    Introducing the Xetra Auction Simulator on A7. More

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