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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

2005Currency execution costs hide in spreads and marginCommission analysis2005Inactive account fees as hidden implementation costCommission analysis2005A two-gate liquidity filter for futures order routingLiquidity filter2005Electronic index futures: spread quotes that follow the tapeMarket making2005Read the tape, name the liquidity job, then route for priceTape reading2007Pairs, hedges, vanishing bids, and the cost of liquidityMarket making2007Hybrid tape sweeps, pairs triggers, and fair-value cash-and-carryPairs trading2007Fair value, open prints, and sweep fadesTape reading2007Ethanol futures liquidity lagged the policy boomLiquidity filter2008Decimalization, liquidity, and why price-only charts miss the tapeOrder flow analysis2010Stacking commission and currency costs on international fillsCommission analysis2010A futures brokerage quote is an execution specificationCommission analysis