Deutsche Borse HFT Research

Market microstructure analysis using nanosecond-level trading data from Eurex and Xetra

Research Papers (3)

Decoding the Flash: A Data-Driven Approach to Measuring Ultra-Fast and High-Frequency Traders Activity

Submitted

Gabin Taibi, Stefan Schlamp, and Joerg Osterrieder

SSRN (2024)

This paper presents a novel methodology for classifying market participants in electronic financial markets based on their trading speed, and measure their participation in the financial markets. As t...

WP4

Financial MarketsUltra-Fast TradingHigh-Frequency TradingPrice FormationInformation Share

Nanoseconds traders: How Ultra-Fast and High-Frequency Traders Reshape Market Microstructure

In Progress

Gabin Taibi, Stefan Schlamp, and Joerg Osterrieder

Physica A (2025)

The advent of ultra-fast (UFT) and high-frequency trading (HFT) has fundamentally transformed financial markets, sparking intense debate about their impact on market quality and stability. This study ...

WP4

Financial MarketsUltra-Fast TradingHigh-Frequency TradingPrice InformationInformation Share

Identifying Market Signals: A Statistical/Machine Learning Approach

Planning

Gabin Taibi, Stefan Schlamp, and Joerg Osterrieder

Top Journal TBD (2025)

WP4

Financial MarketsUltra-Fast TradingHigh-Frequency TradingPrice InformationInformation Share

Analysis Figures

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Market Microstructure

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Market Microstructure

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Analysis Chart

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Market Microstructure

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Analysis Chart

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Data Source: Deutsche Borse Group - Eurex and Xetra platforms
Period: January 2021 - January 2024
Collaboration: Stefan Schlamp (Deutsche Borse)