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
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
media
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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
media
Inglês
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 25 41
Rania El Sharkawy: Quantitative Research Analyst
relsharkawy@euronext.com
+33 1 70 48 30 32
Espen Jøndahl: Senior Quantitative Research Analyst
espen.jon%64ahl@oslobors.no
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espen.jondahl@oslobors.no
+47 90 13 88 91
Ruodan Ni: Quantitative Research Analyst
rni@euronext.com
+33 1 70 48 26 97