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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

2020Use liquidity and open interest as a futures execution screenLiquidity filter2020Market-order slippage on split-adjusted stock pricesCommission analysis2020Pre-trade liquidity filter for listed futuresLiquidity filter2020A futures liquidity board as a pre-trade execution filterLiquidity filter2020Filter futures orders by liquidity and open interestLiquidity filter2020A two-gate liquidity filter before futures order selectionLiquidity filter2020Use a listed-futures liquidity filter before executionLiquidity filter2020Brokerage selection as an implementation-cost problemCommission analysis2020Filter futures by range-scaled liquidity and open interestLiquidity filter2020Equal-dollar futures liquidity and an effective margin screenLiquidity filter2020Ranking futures liquidity before you place the orderLiquidity filter