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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: Like Sitting Ducks
Paul Besson and Adam Matuszewski had looked at dark pool trades matched at stale prices. This latency arb between the primaries and dark pools is ... More
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Stefan's blog: No risk no fun!
Stefan Schlamp takes a look at the largest on-book trades on #Xetra and #Eurex during Q1 2024. More
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Stefan's blog: Delegated Pulls
Stefan introduces a methodology to decompose a market making strategy’s performance using the data of A7. More
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Stefan's blog: Mid-Change Momentum and Reversal
In general, predictions become worse (lower accuracy) with increasing prediction horizon. Price momentum & reversion is a good demonstration for this. More
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Stefan's blog: Passive Liquidity Protection a/k/a Selective Speed Bump
We look at the effect that PLP (Passive Liquidity Protection) has on the trading in DAX index options. (Data: A7, Eurex HPT, and internal data.) More
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