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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

2017Filter futures contracts by liquidity and margin costLiquidity filter2017How TWAP clock bands and VWAP volume triggers set fill qualityVWAP execution2017How residency rules raise futures implementation costsCommission analysis2017Constructing a futures liquidity filter for contract selectionLiquidity filter2017Filter futures orders by liquidity, open interest, and volumeLiquidity filter2017Filter futures by liquidity, open interest, and equal-dollar sizeLiquidity filter2017Electronic matching changed what a futures account could carryMargin management2017Constructing anchored volume-weighted average price maps for crowd-visible execution costsVolume-weighted average price2017Rank futures liquidity before contract selectionLiquidity filter2017Build a futures liquidity filter from open interestLiquidity filter2017Brokerage choice as an execution-speed and commission filterCommission analysis2017A three-part liquidity screen before a futures idea is executableLiquidity filter