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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: Private-First Latency Analysis
The CME operates on the private-first principle. The private fill messages to individual participants are sent before the trade update in the ... More
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Stefan's blog: Adverse Selection Safe Space
The public market data disseminated lets us identify a sizable subset of retail orders hitting Xetra. Considering that retail only comprises a ... More
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Stefan's blog: Uno Reverse Card - M&A Edition
I stumbled across this fantastic paper (SSRN link) which looked at the VW/Porsche merger/takeover saga in detail. In particular it detailed the ... More
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Stefan's blog: What Is Rheiner Up To?
I am told that the defense company Rheinmetall (ticker: RHM) is the German equivalent to GameStop at the moment. The stock is endearingly referred ... More
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Stefan's blog: Synthetic Match Paths
It's been almost exactly two years since my last article on synthetic matching. Time for a refresher and a different viewing angle. More
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Stefan's blog: 35% Market Orders
I am not a fan of market orders - this includes stop orders. Nobody would ever go to an auction (car, art, whatever) and keep bidding no matter what? More
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Stefan's blog: The Bund U-Churn
The average US share changes hands approximately once per year and less than that for the average German share. Futures play in a different league. More
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Stefan's blog: No Guts, No Glory - Biggest Trades 2025Q1
It is that time of the year again to reveal the list of the largest and deepest trade of the previous quarter. More
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Stefan's blog: Battle for Pole - Episode 3
The truce that had lasted for 2-years has been broken. It started in April when the leader - without clear need - reduced his latency and extended ... More
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Stefan's blog: Shortwave Data Will Go the Way of the Dodo
Just like the first Chicago to New York microwave links came online just months after the Spread Network fiber connecting the two trading hubs ... More
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