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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

2018Evaluate futures liquidity before contract selectionLiquidity filter2018Open-interest liquidity filter for futures contract selectionLiquidity filter2018Construct a futures liquidity filter from open interest and rangeLiquidity filter2018Ranking futures by liquidity, open interest, and equal-dollar costLiquidity filter2019Ranking futures liquidity before contract selectionLiquidity filter2019Ranking futures liquidity before you pick a contractLiquidity filter2019Screening futures by equal-dollar liquidityLiquidity filter2020Building an equal-dollar futures liquidity screenLiquidity filter2020Use liquidity and open interest as a futures execution screenLiquidity filter2020Filter futures by range-scaled liquidity and open interestLiquidity filter