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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

2015Equal-dollar futures choice as a liquidity filterLiquidity filter2016Evaluate futures liquidity before contract selectionLiquidity filter2016Ranking futures liquidity before you pick the contractLiquidity filter2016Filter listed futures by relative liquidity and open interestLiquidity filter2017Evaluating futures liquidity for executable contract selectionLiquidity filter2017A relative liquidity rank for choosing an executable futures contractLiquidity filter2017Constructing a futures liquidity filter for contract selectionLiquidity filter2017Filter futures by liquidity, open interest, and equal-dollar sizeLiquidity filter2017Rank futures liquidity before contract selectionLiquidity filter2017Build a futures liquidity filter from open interestLiquidity filter2018Evaluating futures liquidity for executable contract choiceLiquidity filter2018Executable futures selection from a 2018 liquidity boardLiquidity filter