Quant research offering
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 ) or Halima Butt ( hbutt@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
Better trading at the close thanks to market impact models

Euronext 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.

Euronext Market Insights Webinar 2nd edition
During this 2nd Euronext Market Insights Webinar, we will focus 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?

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)

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
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