Xetra HHI Insights

Overview

The Herfindahl-Hirschman Index (HHI) is a key market concentration measure, aiding in assessing liquidity quality and concentration risks. It ranges from 0 to 1, considering both participant numbers and volume. HHI Insights provides detailed concentration indicators like buy vs. sell and aggressive vs. passive breakdowns.

-The Herfi ndahl-Hirschman Index (HHI) is commonly accepted measure of market concentration
-It helps market participants to assess the quality of available liquidity
and to identify concentration risk
-The measures are expressed through an index value ranging from 0 to 1
-HHI Insights does not only capture the number of participants, but additionally takes the respective volume into account
-Along with an overall market concentration measure, HHI Insights also provides concentration indicators for several breakdowns, e.g. buy vs. sell and aggressive vs. passive

Designed for market participants such as:

-Buy-side and sell-side traders, researchers and analysts
-Market makers
-Brokerage firms
-Systematic trading firms

Benefits

-Using Xetra® and Eurex® proprietary data, HHI Insights provides unique insights into market concentration and the relative demand imbalance
-It gives customers additional guidance when deciding whether to add a new market to their trading universe, when setting maximum position limits, and when adjusting how aggressively they would like to enter and exit positions

Data details

-HHI Insights is calculated by squaring the market share of each fi rm competing in the market and summarizing the resulting numbers
-The figures are calculated daily and delivered T+1
-HHI Insights is available for both Eurex and Xetra instruments
-24 individual daily HHI figures for Eurex® and 18 individual daily HHI figures for Xetra®
-Xetra® HHI Insights is calculated on an ISIN level basis
-Eurex® HHI Insights is calculated on an expiry basis plus further breakdowns for options
-History is available for Xetra® back to 1 July 2017 and for Eurex® back to 1 January 2017

Disclaimer: The download and usage of the free sample data provided by Deutsche Börse AG via the Snowflake Marketplace is subject to the Terms of Use (which can be viewed on the right side). By downloading the data, you accept to adhere to the Terms of Use.

搜集汇总

背景与挑战

背景概述

Xetra HHI Insights 是一个基于赫芬达尔-赫希曼指数的市场集中度分析数据集，提供每日计算的指标，包括买/卖和主动/被动等细分数据。它利用Xetra和Eurex专有数据，帮助市场参与者评估流动性质量和风险，历史数据可追溯至2017年。