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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.

5 results
  1. Stefan's blog: Many a Mickle Makes a Muckle

    Mar 27, 2023

    There is a tendency for traders to only focus on a small set of the most liquid instruments. Unfortunately, this is what everybody else also thinks. More

  2. Stefan's blog: N ≥ 4

    Mar 20, 2023

    The high-precision timestamp (HPT) files from Eurex make it possible to infer the reaction time behind every order insert (including those leading ... More

  3. Stefan's blog: How Much Liquidity Do You Need? – Yes.

    Mar 13, 2023

    There are three daily scheduled auctions for equities on Xetra – an opening auction from 08:50 to 09:00, an intraday auction from 13:00 to 13:02 ... More

  4. Stefan's blog: The Tail Not Wagging the Dog

    Mar 10, 2023

    Stefan Schlamp: Ni et al. (2005) find that stock prices cluster around option strike prices on option expiration dates (but not on non-expiration ... More

  5. Stefan's blog: Alpha is Only Part of the Puzzle

    Mar 10, 2023

    Stefan Schlamp: If I had to pick between having good alpha and good execution, I’d pick the latter. This might seem counter-intuitive but I can ... More