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: Mo' Volatility, Mo' Option Volume
How does option volume compare to that of futures? One narrative is that when things get volatile (a lot of volume) then there is (relatively) ... More
-
Stefan's blog: Are Busy Days Just Quiet Days With More Volume?
In a few weeks (from the time of writing), the new version of our HHI (Herfindahl-Hirschman index) dataset will be releases. It provides ... More
-
Stefan's blog: Liquidity Picture vs. ADV
Suppose all trades in a stock only trade part of the liquidity available at the BBO. More size would have been available, but it was not taken. More
-
Stefan's blog: Collusion or Just Pricing?
A recent study found "collusion" between ETF market makers on Euronext. The hypothesis and methodology are actually pretty cool. The authors ... More
-
Stefan's blog: Market Impact is a Non-Issue for HFTs
Despite that large volumes that are traded by high-frequency traders and their market share, market impact in the classical sense is, at least for ... More
-
Stefan's blog: Does Liquidity Attract Volume?
Where are orders sent given the choice between multiple lit venues? First priority should be the price. Given the same price, liquidity becomes a ... More
-
Stefan's blog: Fantastic Beasts: The SMP^41
For the 6-year period 20200101-20251231, the title for "most SMP'd orders in a single event" (SMP: self-match prevention, i.e., order is deleted ... More
-
Stefan's blog: One Billion, Two Billion, Test, Test
Warren Buffet gave a speech at my school once. Instead of the normal microphone tapping "1, 2, 3, test" he went "1 Million, 2 Million, test". From ... More
-
Stefan's blog: Private-First Liquidity
One argument for private-first data dissemination is that it incentivizes liquidity provision through the information advantage that a passive ... More
-
Stefan's blog: Real-Time HHI Value Added
EOBI release 11.0 in November 2022 introduced the dissemination of a market concentration metric in real-time for each level of the order book ... More
Share this page