Trading InfoSnack: This Time Is Different

Trading InfoSnack: This Time Is Different

The latest data-driven thought-leadership article published by the Equity experts of the Swiss Stock Exchange provides insightful research on differences in order book dynamics across major European markets and comments on the effects of competition returning in the Swiss market.

When Swiss equity trading resumed on UK-based MTFs in February 2021, it marked the end of 19-months of non-competition – and the starting point for new research that compares differences in trading dynamics during and after non-equivalence. In the new Trading InfoSnack This Time Is Different, the author team of the Swiss Stock Exchange has gathered some unique insights regarding order book structures and dynamics across different periods and venues.

Identifying Key Differentiators

In order to detect differences between the Swiss market and other primary exchanges as well as MTFs, the research focuses on Order-to-trade (OTR) ratios for the lit books in continuous trading, resting and fill behaviour of orders across European Blue Chips as well as the probability of fill in Swiss Blue Chips.

Christian Reuss, Head SIX Swiss Exchange

Fragmentation of liquidity in Swiss equities has changed the order book dynamics, in particular the resting time of orders and the probability of fill.

Adam Matuszewski, Head Equity Products and Analytics

Insights on Relevant Trading and Market Structure Topics
The Trading InfoSnack articles are brief but insightful research features that provide commentary on market relevant trends, models and microstructure that influence the trading of Swiss securities, underpinned by in-depth analysis from the Equities team of the Swiss Stock Exchange.

Whilst the specific focus of Trading InfoSnacks will be on the trading of Swiss securities, the approaches and perspectives constructed also have more broad application across the EU securities trading landscape. To trading and market structure professionals with a focus on the EMEA region the previous Trading InfoSnacks are also of interest: CryptophoriaLast Orders, Size MattersLiquidity under the Volatility MicroscopeClosing Auctions: What’s Hanging in the Balance?Back to the Future(s) and What’s in a Liquidity Smile?

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