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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: Liquidity Picture vs. ADV
Suppose all trades in a stock only trade part of the liquidity available at the BBO. More size would have been available, but it was not taken. More
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Stefan's blog: Collusion or Just Pricing?
A recent study found "collusion" between ETF market makers on Euronext. The hypothesis and methodology are actually pretty cool. The authors ... More
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Stefan's blog: Market Impact is a Non-Issue for HFTs
Despite that large volumes that are traded by high-frequency traders and their market share, market impact in the classical sense is, at least for ... More
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Stefan's blog: Does Liquidity Attract Volume?
Where are orders sent given the choice between multiple lit venues? First priority should be the price. Given the same price, liquidity becomes a ... More
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Stefan's blog: Fantastic Beasts: The SMP^41
For the 6-year period 20200101-20251231, the title for "most SMP'd orders in a single event" (SMP: self-match prevention, i.e., order is deleted ... More
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Stefan's blog: One Billion, Two Billion, Test, Test
Warren Buffet gave a speech at my school once. Instead of the normal microphone tapping "1, 2, 3, test" he went "1 Million, 2 Million, test". From ... More
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Stefan's blog: Private-First Liquidity
One argument for private-first data dissemination is that it incentivizes liquidity provision through the information advantage that a passive ... More
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Stefan's blog: Real-Time HHI Value Added
EOBI release 11.0 in November 2022 introduced the dissemination of a market concentration metric in real-time for each level of the order book ... More
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Stefan's blog: You better double that, then double that again
It's been over 18 months since the introduction of the Xetra Retail Service on 20240520. Time to see how things are going. And there is no better ... More
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Stefan's blog: Biggie Smalls
There are a number of futures which exist in different sizes, i.e., the same underlier, same expiry, etc; just that one contract represents X ... More
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