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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.

42 results
  1. Stefan's blog: Xetra Auction Simulator

    Feb 26, 2024

    Introducing the Xetra Auction Simulator on A7. More

  2. Stefan's blog: What Is Being Optimized? With the help of A7.

    Feb 19, 2024

    We look at a few recent or ongoing share buyback programs of DAX constituents and discuss day-to-day variation is purchase volume. More

  3. Stefan's blog: Order Placement During the Closing Auction

    Feb 13, 2024

    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

  4. Stefan's blog: When the Going Gets Tough

    Feb 13, 2024

    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

  5. Stefan's blog: Someone Has to (and Does) Come to the Office Over the Holidays

    Feb 13, 2024

    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

  6. Stefan's blog: Lipstick on a Pig

    Feb 13, 2024

    How long does it take a resting order to get filled? This looks like a reasonable question. But, as I have argued in the past the ... More

  7. Stefan's blog: 2 is the new 5

    Feb 13, 2024

    It has been a year since "5 is the new 10" which means there is now data for November 2023 to add to the collection. I had predicted last year ... More

  8. Stefan's blog: No Alpha Without Dispersion

    Feb 13, 2024

    Suppose all stock prices always moved by the same (relative) amount up or down. It would then be impossible for a market-neutral strategy to ... More

  9. Stefan's blog: Is It the Market or the Stock?

    Feb 13, 2024

    For asset managers and hedge funds trading is a cost; the profit comes from holding the positions. For market makers, on the other hand, trading ... More

  10. Stefan's blog: Reaction Times to Economic News

    Feb 13, 2024

    This expands upon / was inspired by an earlier article which took a close look at a recent instance of a large trade in the Bund future on Eurex ... More

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