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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: 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
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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
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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
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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
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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
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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
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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
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Stefan's blog: Of the Consolidated Tape and Airbags
The European Consolidated Tape will come. Personally, I would have preferred a post-trade tape, but: it is what it is - this ship has sailed. I do ... More
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Stefan's blog: Big Boy Pants 2026Q1
It is this time of the year again where we review some of the more noteworthy trades of the previous quarter. More
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Stefan's blog: Delegated Pulls - With Numbers
Obtaining good queue position when market making is only part of the puzzle. Once an order is in the limit order book, one has to decide every ... More
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