Euronext Quantitative Research

Gain transparency and insight on market trends and trading mechanisms.

Quantitative research designed for investors and market participants across the globe.

Quant research offering

Data products

New data insights for hedge funds, brokers and market makers, offering a valuable source of alpha for quantitative algorithmic strategies

Research papers

Quantitative research papers on market microstructure and related regulatory topics, such as trading mechanisms and market flows

Academic contributions

Academic market microstructure content and educational materials in partnership with the Institut Louis Bachelier

Data Quant offering

Equity Market Behavioral

  • Gain insight into participants’ behaviors to improve participants trading strategies
  • €10 billion lit order transactions analysed daily
  • Covers 900 continuously traded Euronext stocks
  • Covers CAC 40®, AEX®, BEL 20®, SBF 80® and AMX® indices, including 24 of the EURO STOXX 50 component securities and 142 of the STOXX 600 component securities
  • For Brokers, Liquidity providers, Prop trading firms and hedge funds
  • Data since January 2013

For more information please contact Lei Wang 
( ).

Equity Market Trends

  • Bi-monthly flow trends by industry and on individual stocks
  • Analysis per industry or sector of the stock universe for each market participant type (global brokers, regional brokers, retail, liquidity providers & prop traders)
  • Analysis per individual stock for each market participant type

Research Papers

Call out image - Borsa Italiana trade prices outperform Equiduct

Gross trade prices on Italian stocks on Borsa Italiana outperform Equiduct APEX

March 2023

This quantitative analysis provides evidence that agressive Lit trade prices for Euronext Milan equities on Borsa Italiana outperform alternative venue Equiduct's APEX in terms of best execution and price improvement for retail investors. 

Written by Paul Besson, Théo Compérot and Anatole Casimir. 

To obtain a copy of the paper, please contact us via the link below.


Quant markouts passive VWAP

From better Markouts to better passive execution prices on Primary Markets compared to MTFs

October 2022

Following the last paper on Markouts released early 2022, this new publication clarifies the link between Markouts and tangible trading prices. How to objectively assess the outcome of a passive trade on a given venue? Are average passive prices more attractive on Primary Markets versus MTFs? Do passive trades on MTFs take place at a worse market timing compared to Primary? Do worse Markouts and Market timing lead to worse passive VWAP prices on Primary Markets versus MTFs?

Written by Paul Besson, Théo Compérot and Cheng-Feng Gu. 

To obtain a copy of the paper, please contact us via the link below.


FX Global Code vs Non-Code execution quality comparison

Code vs Non-Code Quant Research Paper

Quantitive Research Report

Quality of execution comparison between FX Global Code signatory and Non-Code signatory liquidity providers across Euronext FX

November 2022

Following our decision to default taker pools to Code signatory LPs with the option for takers to opt-out effective 1 January 2023, this new publication compares the quality of execution between Code and Non-Code signatories. The paper prompts takers to question: Should I retain Non-Code signatories in my liquidity pool? What will be the impact on my liquidity pool? Is there value in keeping Non-Code signatories for certain groups of currency pairs (G10 vs EM)?

Written by Paul Besson and Mehdi-Lou Pigeard. 

To obtain a copy of the paper, please click the link below.

fx code vs non-code

FX Global Code vs Non-Code Webinar

Watch the video of our Quant Research and FX teams explaining key results and answering a variety of quant, policy and liquidity management questions, to enable market participants to make data-driven choices.

  • Is there a measurable difference in the quality of execution between Code signatory and Non-Code signatory LPs? 
  • How did this research drive Euronext FX's latest policy decision around the Code?
  • What trends have we seen in Code adherence of market participants on the platform? 
  • And much more
Passive posting markouts lit MTFs

Better passive posting across Lit venues based on quantitative analysis of Markouts

February 2022

Price reversion (or Markout analysis) has become essential for traders seeking to improve their allocation across venues. This paper, based on public market data from primary markets and MTFs, addresses key questions related to Markouts and venue selections, for the benefit of investors.

Written by Paul Besson, Théo Compérot and Victor Vialard.

To obtain a copy of the paper, please contact us via the link below.


Better trading at the close thanks to market impact models


Quantitive Research Report

In 2020, closing auctions market share represented more than 20% of European consolidated volumes. Surprisingly, almost no publicly available market impact model on closing auctions is available, although the continuous market impact has been extensively studied. As a market operator we share with all market participants the findings of our unique dataset.

Webinar impact on close

Euronext Market Insights webinar

During this 2nd Euronext Market Insights Webinar, we focused on Quantitative answers to key questions on trading at the closing auction on Euronext Equity:

  • Are closing auctions a cheaper way to trade large orders compared to continuous trading?
  • Is earlier sending of Market Orders beneficial to reduce the market impact on close?
  • Is the internalisation of On Close Market Orders detrimental to auction volatility?
QR BoB vs Apex

BoB versus Apex

No free lunch - trading on Apex more costly than on Best of Book

  • Complementing our first paper on VBBO Trading (July 2020), we analysed the overall costs of trading on Equiduct’s Apex vs on Euronext’s Best of Book (BoB)
  • The paper considers all trades on Apex and Best of Book from December 2019 to April 2020 on the same stock universe, then computes the net price improvement of each trade using QuantHouse European Best Bid and Offer (EBBO) at the same microsecond
  • Found out how BoB price improvements, net of fees, outperform Apex improvements by +1.36 bps by simple average and by 2.47 bps when using turnover weighted average
  • Understand therefore how Euronext’s BoB model outperforms Equiduct’s Apex zero fee model

(October 2020)

Quant Research Papers

VBBO Trading

A best execution solution for retail investors or for market makers?

  • Learn how price improvement and price deterioration work for Volume Weighted Best Bid and Offer (VBBO) trades compared with European Best Bid and Offer (EBBO) prices
  • Understand how this relative performance behaves depending on corresponding underlying trade sizes and the bid-ask spreads of stocks
  • Learn more about VBBO trading performance for trades with sizes available on the EBBO first limits, and larger trades with sizes not available on the EBBO first limits
  • Examine the question of best execution for VBBO trading

 (July 2020)

Academic contributions


Online course (MOOC)

Introduction to Market Microstructure

Key concepts to understand the main mechanisms at play in electronic trading

I. European markets fragmentation and liquidity
II. Key practical questions from an investor’s point of view
III. Key orderbook properties
IV. Market fragmentation and competition across venues
V. Key forecast based on the orderbook

2 hours - 18 videos

Euronext Quant Research Team

Paul Besson: Head of Quant Research +33 1 70 48 26 36

Théo Compérot: Quantitative Research Analyst +33 1 70 48 24 22

Rania El Sharkawy: Quantitative Research Analyst +33 1 70 48 30 32

Espen Jøndahl: Senior Quantitative Research Analyst  +47 90 13 88 91

Ruodan Ni: Quantitative Research Analyst +33 1 70 48 26 97

Yanis Mahi: Quantitative Research Analyst +33 7 85 92 15 53