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Research topic46 readings

Liquidity and costs

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

FieldExecution and market microstructure47 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 archive46 readings

Readings on this topic

2012Ranking futures liquidity before choosing a contractLiquidity filter2013Liquidity-first futures contract selectionLiquidity filter2013Equal-dollar liquidity filter for futures contract choiceLiquidity filter2013Futures liquidity filters for executable contract selectionLiquidity filter2013Filter listed futures by liquidity and open interest firstLiquidity filter2013Ranking listed futures by liquidity and equal-dollar sizeLiquidity filter2013A pre-trade liquidity filter for futures contract selectionLiquidity filter2014Rank futures liquidity before selecting the contractLiquidity filter2014Filter futures by equal-dollar liquidity and open interestLiquidity filter2015Filter futures contracts by liquidity and open interestLiquidity filter2015A two-stage liquidity filter for futures contract selectionLiquidity filter2015Screen futures contracts by liquidity and open interestLiquidity filter