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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.

74 results
  1. Stefan's blog: Cadence or Stride Length? - Stride Length!

    Jun 25, 2025

    To run faster you can increase your cadence and/or your stride length. Similarly, for one stock having a higher daily volume, this can be due to ... More

  2. Stefan's blog: Tragedy of the Commons - Price Formation Edition

    Jun 18, 2025

    Imagine Deutsche Bahn (or Amtrak, or National Rail, ...) was required to let competitors use their rail infrastructure for free. Competitors would ... More

  3. Stefan's blog: The HPT Triple is Complete

    Jun 10, 2025

    High-precision timestamp (HPT) files have been a staple for analyzing low-latency trading performance on Eurex and Xetra for years. The European ... More

  4. Stefan's blog: Private-First Latency Analysis

    Jun 4, 2025

    The CME operates on the private-first principle. The private fill messages to individual participants are sent before the trade update in the ... More

  5. Stefan's blog: Adverse Selection Safe Space

    Jun 4, 2025

    The public market data disseminated lets us identify a sizable subset of retail orders hitting Xetra. Considering that retail only comprises a ... More

  6. Stefan's blog: Uno Reverse Card - M&A Edition

    May 20, 2025

    I stumbled across this fantastic paper (SSRN link) which looked at the VW/Porsche merger/takeover saga in detail. In particular it detailed the ... More

  7. Stefan's blog: What Is Rheiner Up To?

    May 12, 2025

    I am told that the defense company Rheinmetall (ticker: RHM) is the German equivalent to GameStop at the moment. The stock is endearingly referred ... More

  8. Stefan's blog: Synthetic Match Paths

    May 6, 2025

    It's been almost exactly two years since my last article on synthetic matching. Time for a refresher and a different viewing angle. More

  9. Stefan's blog: 35% Market Orders

    Apr 29, 2025

    I am not a fan of market orders - this includes stop orders. Nobody would ever go to an auction (car, art, whatever) and keep bidding no matter what? More

  10. Stefan's blog: The Bund U-Churn

    Apr 23, 2025

    The average US share changes hands approximately once per year and less than that for the average German share. Futures play in a different league. More

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