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 products

Equity Market Flow

  • Gain insight into potential short-term alpha with data signals based on flow category:
    • Liquidity Provider: trading members that have committed to provide liquidity
    • House: own account, prop desk activity
    • Client: agency brokers for retail clients, institutional investors, hedge funds
    • Retail: retail brokers using Euronext’s retail offer (Best of Book)
  • €7 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
  • Data since January 2013

For more information please contact Lei Wang ( lwang@euronext.com ).

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

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markout analysis

Better passive posting across Lit venues

Based on quantitative analysis of Markouts

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

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

Better trading at the close thanks to market impact models

Equities-Market-Structure

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?
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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)

Academic contributions

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Engelsk

Online course (MOOC)

Introduction to Market Microstructure

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

Contents
Introduction
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
pbesson@euronext.com +33 1 70 48 26 36

Théo Compérot: Quantitative Research Analyst 
tcomperot@euronext.com +33 1 70 48 24 22

Rania El Sharkawy: Quantitative Research Analyst 
relsharkawy@euronext.com +33 1 70 48 30 32

Espen Jøndahl: Senior Quantitative Research Analyst
espen.jondahl@oslobors.no  +47 90 13 88 91

Ruodan Ni: Quantitative Research Analyst
rni@euronext.com +33 1 70 48 26 97

Yanis Mahi: Quantitative Research Analyst

ymahi@euronext.com +33 7 85 92 15 53