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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

2016Exchange quote fees as execution costs and liquidity filtersCommission analysis2016Filter listed futures by relative liquidity and open interestLiquidity filter2016Filter futures by liquidity, open interest, and margin costLiquidity filter2016A futures liquidity ranking as a screen for executable ordersLiquidity filter2016Comparing dollar-index futures execution costs and liquidityFutures contract selection2016Same-dollar liquidity-filter for listed futuresLiquidity filter2016Liquidity filter for executable futures ordersLiquidity filter2017Evaluating futures liquidity for executable contract selectionLiquidity filter2017Screen listed futures for execution liquidity firstLiquidity filter2017Filter a futures board by liquidity, open interest, and implementation costLiquidity filter2017How to read a futures liquidity filterLiquidity filter2017A relative liquidity rank for choosing an executable futures contractLiquidity filter