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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: Delegated Pulls
Stefan introduces a methodology to decompose a market making strategy’s performance using the data of A7. More
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Stefan's blog: Mid-Change Momentum and Reversal
In general, predictions become worse (lower accuracy) with increasing prediction horizon. Price momentum & reversion is a good demonstration for this. More
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Stefan's blog: Passive Liquidity Protection a/k/a Selective Speed Bump
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
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Stefan's blog: What Is Being Optimized? With the help of A7.
We look at a few recent or ongoing share buyback programs of DAX constituents and discuss day-to-day variation is purchase volume. More
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Stefan's blog: Order Placement During the Closing Auction
The used data itself is internal, but it describes the use case of the Xetra Auction Simulator on A7 which is already in prod so we should add it ... More
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Stefan's blog: When the Going Gets Tough
9 Nov 2020 the positive trials of the Covid vaccine were announced. The price moved up under heavy volume by almost 6% over a 30-min period. This ... More
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Stefan's blog: Someone Has to (and Does) Come to the Office Over the Holidays
Xetra offers a T+1 file service with the Herfindahl-Hirschman Index (HHI) for all domestic cash equities traded on Xetra. In short, the HHI is a ... More
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