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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: Pricing the DAX Future
The DAX index future (FDAX) trades between 2 am and 10 pm on Eurex, but the cash market is only open between 9 am and 5:30 pm (all times CET); More
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Stefan's blog: The Decay Chain
In nuclear physics, a decay chain refers to the series of steps through which an unstable isotopes decays until it eventually reaches lead. More
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Stefan's blog: A Clean Exit
On 20221025 Linde announced its decision to delist from Xetra at the end of February of the following year. Supposedly, Linde was unhappy with the ... More
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Stefan's blog: The First Principal Component
... of every microstructure-based strategy is the imbalance a/k/a book pressure. More
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Stefan's blog: Mach Keine Halben Sachen! - 2026Q2
This is the German version of "Don't half-a** it". Conveniently, it is also PG13. It is an apt title for this quarter's list of noteworthy trades ... More
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Stefan's blog: Lit? Dark? Whatever.
In June 2026, it was "lights on" during the auctions on Xetra. Prior to this, the order books during auctions (opening, closing, intraday ... More
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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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