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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: The Cheddar-Mozzarella Spread
The European Energy Exchange (EEX) publishes Weekly European Cheese Indices (WECI). Not knowing anything about this niche of the market, I would ... More
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Stefan's blog: Level-3 Alpha
A few weeks ago, I showed how much predictive power the book pressure has. For that analysis I had used the "classical" formula, which uses the ... More
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Stefan's blog: Market Share by Vintage
Suppose you create a new chocolate bar today. What are the chances that nobody comes up with a better recipe over the next 50 years? And yet, the ... More
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Stefan's blog: Goldilocks Queue Position
It has been over four years since my first attempt to show the importance of queue position for market making. I have also written about how to ... More
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Stefan's blog: Kleine Ursache, Große Wirkung
or: The Butterfly Effect. Orders in Xetra's midpoint can have a minimum acceptable quantity (MAQ). The intention is to protect orders from being ... More
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Stefan's blog: Muzzle Velocity and Caliber
The latency picture (muzzle velocity) has not changed notably for a while. But it seems that participants' caliber has become larger. Imagine you ... More
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Stefan's blog: Pricing the DAX Future
The DAX index future (FDAX) trades between 2 am and 10 pm on Eurex, but the cash market is only open between 9 am and 5:30 pm (all times CET); More
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Stefan's blog: The Decay Chain
In nuclear physics, a decay chain refers to the series of steps through which an unstable isotopes decays until it eventually reaches lead. More
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Stefan's blog: A Clean Exit
On 20221025 Linde announced its decision to delist from Xetra at the end of February of the following year. Supposedly, Linde was unhappy with the ... More
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Stefan's blog: The First Principal Component
... of every microstructure-based strategy is the imbalance a/k/a book pressure. More
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