Abstract
Poor execution can turn a good idea into a losing trade. Skilled traders (and their brokers) use their knowledge and experience to balance the immediacy of a transaction with the liquidity available in the market. This note reports on the work we have done to estimate the market impact of one-off trades in electronically traded futures markets.
TOPICS: Exchanges/markets/clearinghouses, futures and forward contracts
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Measuring Market Impact and Liquidity
