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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

2010A pre-trade liquidity screen for futures contractsLiquidity filter2010Relative liquidity ranking for futures contract selectionLiquidity filter2010Futures liquidity filter for equal-dollar size and open interestLiquidity filter2010Currency futures versus forex on spread, margin, and microsCommission analysis2010A liquidity filter for executable futures contract selectionLiquidity filter2010Screening futures by liquidity, open interest, and equal-dollar sizeLiquidity filter2010Ranking futures liquidity for executable contract choiceLiquidity filter2010Liquidity and open interest screens for futures selectionLiquidity filter2010Screen futures for tradeable liquidity before sizingLiquidity filter2010Ranking futures by open interest and equal-dollar liquidityLiquidity filter2011Liquidity filter for futures contract selectionLiquidity filter2011Screen futures liquidity with open interest and volumeLiquidity filter