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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

2012Liquidity, share count, and stop-trigger costsTransaction-cost and slippage simulation2012Forex and currency futures: pip-spread, deposit, and scalping sizeCommission analysis2012Broken quotes as liquidity eventsLiquidity-seeking execution2012Visible opening depth versus internalized subpenny priorityLimit order2012Ranking futures liquidity for executable ordersLiquidity filter2012Rank listed futures by liquidity before a forecast chooses the nameLiquidity filter2012Filter futures liquidity using open interest and volumeLiquidity filter2012Ranking futures liquidity before choosing a contractLiquidity filter2013Equal-dollar open interest as a futures liquidity filterLiquidity filter2013Pre-trade futures liquidity as an execution filterLiquidity filter2013Posted tickets hide margin and fill gatesCommission analysis2013Liquidity-first futures contract selectionLiquidity filter