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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

2011Screen futures liquidity with open interest and equal dollar sizeLiquidity filter2011Futures liquidity rank as an execution filterLiquidity filter2011Filter executable futures with liquidity and open interestLiquidity filter2011Filtering futures by liquidity, open interest and equal-dollar sizeLiquidity filter2011Liquidity and open interest as a screen for futures selectionLiquidity filter2011When to raise participation without blocking the tapeLiquidity-seeking execution2011A futures liquidity filter for equal-dollar executionLiquidity filter2012Ranking futures markets by executable liquidityLiquidity filter2012A transaction levy makes one-tick market making unexecutableCommission analysis2012Futures commission versus one tick of costCommission analysis2012Filter futures contracts by liquidity and implementation costLiquidity filter2012Filter listed futures by relative contract liquidityLiquidity filter