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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

2014Ticket charges, margin carry, and bank liquidity limitsCommission analysis2014Evaluating futures contract liquidity before executionLiquidity filter2014Book futures data fees as implementation costCommission analysis2014Filter futures by equal-dollar size, open interest, and volumeLiquidity filter2014A two-gate liquidity filter for listed futuresLiquidity filter2014Rank futures liquidity before selecting the contractLiquidity filter2014A liquidity filter for majors, crosses, and exoticsLiquidity filter2014Filter futures by equal-dollar liquidity and open interestLiquidity filter2015Filter futures contracts by liquidity and open interestLiquidity filter2015Use a futures liquidity rank as a pre-trade checklistLiquidity filter2015Filter futures contracts by open interest and volumeLiquidity filter2015Filter unexecutable futures by liquidity, open interest, and marginLiquidity filter