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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: How Informative are BBO Cancels?
Stefan looked at the likelihood that an order on the BBO would be canceled as a function of its queue position. We saw that orders with good queue ... More
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Stefan's blog: Like Sitting Ducks
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
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Stefan's blog: No risk no fun!
Stefan Schlamp takes a look at the largest on-book trades on #Xetra and #Eurex during Q1 2024. More
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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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