Pages: 20
Publication date: 3 MARCH 2025
Authors: Paul Besson, Head of Quantitative Research & Anatole Casimir, Quant Research Analyst
Following the introduction of the new liquidity programme ‘Dark Rebate Scheme’ (DRS) in December 2024, including the implementation of a stricter selection process for takers, Euronext has shown improved passive dark markouts compared to MTFs. This quant research study focuses on the detailed results, on two distinct period; before and after the implementation of DRS.
- “1 Sept – 1 Dec”: This first period corresponds to the time period prior to the implementation of the DRS on 2 December 2024, which therefore serves as a control period to study the effect of the DRS on the quality of Euronext Mid-Point Match.
- “9 Dec – 31 Jan”: This corresponds to the period following the DRS implementation. The week between 2 December and 9 December is not taken into account as this was a transition week.
For more information on the staleness issue of Dark trades on MTFs, please refer to our previous quant report “The latency costs of Dark MTFs on continental stocks: How kilometres translate into basis points”.
Watch the replay of the webinars and download the slides:
Paul Besson, Head of Quant Research at Euronext introduced the detailed results of the study, and Vincent Boquillon, Head of Equity Trading, presented the programme designed to boost dark volumes at the mid-point.
Webinar for Buy-Side Webinar for Sell-Side
For more insights and to receive a copy of the report, contact QuantReports@euronext.com
For more information about Euronext Mid-Point Match, contact EquitiesTeam@euronext.com or your sales representative at EuronextEquitySales@euronext.com, and visit our dedicated webpage.