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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: Battle for Pole - Episode 3
The truce that had lasted for 2-years has been broken. It started in April when the leader - without clear need - reduced his latency and extended ... More
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Stefan's blog: Shortwave Data Will Go the Way of the Dodo
Just like the first Chicago to New York microwave links came online just months after the Spread Network fiber connecting the two trading hubs ... More
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Stefan's blog: Birthday Problem - Nanosecond Edition
The classical birthday problem asks for the probability of two children in a class of x children having their birthdays on the same day. Given ... More
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Stefan's blog: Bullets Dodged, Bullets Caught
Suppose you have a resting order in the limit order book. Your fair value model suggests that you should pull the order. But the decision of ... More
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Stefan's blog: Closing Auction Market Share - The Long View
There have been some recent studies that highlighted the increasing market share of the closing auction. The data in these studies "only" went ... More
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Stefan's blog: Are Fill/Cancels to Blame?
This week I add another bucket: fill/cancels a/k/a late cancels. These are undesired fills - the participant had tried to cancel the order but by ... More
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Stefan's blog: Share Buyback Regs vs. Physics
The regulations for executing share buybacks are oddly specific. More
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Stefan's blog: Where'd Your Money Go?
Under ideal conditions, the market maker earns the half-spread on every trade. Alas, reality is anything but ideal. More
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Stefan's blog: Retail, Dark Midpoint, and CLOB Intraday Volume Profile
Xetra dark midpoint allows us to examine difference in intraday trading patterns. More
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Stefan's blog: Variability of Auction Liquidity
Stefan checks the variability of deep liquidity in the auction book. More
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