Navigation and Service
Subnavigation
Content
Stefan's Blog
Follow the blogs of our expert Stefan Schlamp, Head of Quantitative Analytics, about recent trends and developments in the market.
-
Stefan's blog: The First Principal Component
... of every microstructure-based strategy is the imbalance a/k/a book pressure. More
-
Stefan's blog: Mach Keine Halben Sachen! - 2026Q2
This is the German version of "Don't half-a** it". Conveniently, it is also PG13. It is an apt title for this quarter's list of noteworthy trades ... More
-
Stefan's blog: Lit? Dark? Whatever.
In June 2026, it was "lights on" during the auctions on Xetra. Prior to this, the order books during auctions (opening, closing, intraday ... More
-
Stefan's blog: Locked and Crossed Markets
Across the pond, the SEC is considering rescinding parts of RegNMS. Neither rule exists in Europe. So it might be interesting to look at what a ... More
-
Stefan's blog: Discrimination of ETPs
A lot has happened since the last time I looked at the market concentration as a function of the average daily volume. More
-
Stefan's blog: Tick Size and Markout - Of "Real" Market Makers
In last week's article we found that the average markout for liquidity providers was negative - for constituents of the DAX, MDAX, and SDAX indices. More
-
Stefan's blog: Tick Sizes and Markouts
Last week we looked at the influence of tick sizes on order-to-trade ratios (OTR). In a way, the OTR is a purely aesthetic KPI. A more relevant ... More
-
Stefan's blog: Tick Size and Order-to-Trade Ratio
Quick introduction to people only familiar with US equity markets: There are no fixed ($0.01) tick sizes for European equities. At least the ... More
-
Stefan's blog: The Eleventh Hour
When a stock joins an index, all ETFs and mutual funds tracking this index have to buy this stock. Usually the funds are not allowed to deviate ... More
-
Stefan's blog: How Much Liquidity Is Enough? About 10 MEUR.
Is there some point beyond which the marginal utility of additional liquidity becomes (close to) zero? Was a trade in the historical data ... More
Share this page