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Research topic155 readings

Liquidity and costs

Liquidity and costs within execution-and-market-microstructure.

FieldExecution and market microstructure317 readings
The registry

Entries in this field

17 entries

A

Aggressive execution

C

Commission analysis

F

Futures rollover management

I

Implementation shortfall

L

Liquidity filterLiquidity-seeking execution

M

Market impact model

O

OHLC bar construction

P

Participation rate executionPassive execution

T

TWAP executionTape speedTime-weighted average priceTrade information controlTrade-at-price analysisTransaction-cost and slippage simulation

V

VWAP execution
The archive155 readings

Readings on this topic

1985Matching ticket size to negotiable commission schedulesCommission analysis1985Minimum tickets can price a small book out of its own exitCommission analysis1988Why instant basket routing overwhelms specialist liquidityLiquidity filter1991Testing dealer inventory caps against a frozen order tapeMarket making1992Stop-order slippage as an execution cost filterTransaction-cost and slippage simulation2001Ticket charges, internalization, and hidden size on the tapeCommission analysis2001Displayed-size filters in multi-venue index-share executionOrder flow analysis2001Displayed size, venue rules, and execution costsMarket making2002Front-load futures commission and slippageCommission analysis2003Cheaper access still left a routing and cost problemCommission analysis2004The last hour as a stack of forced executionsVolume-weighted average price2004Session volume-weighted average for limit placement and listed routingVolume-weighted average price