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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: 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: 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: 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: 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: Share Buyback Regs vs. Physics
The regulations for executing share buybacks are oddly specific. 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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Stefan's blog: How Informative are BBO Cancels?
Stefan looked at the likelihood that an order on the BBO would be canceled as a function of its queue position. We saw that orders with good queue ... More
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