PT - JOURNAL ARTICLE AU - Galen Burghardt AU - Jerry Hanweck, Jr AU - Lauren Lei TI - Measuring Market Impact and Liquidity AID - 10.3905/jot.2006.654303 DP - 2006 Sep 30 TA - The Journal of Trading PG - 70--84 VI - 1 IP - 4 4099 - https://pm-research.com/content/1/4/70.short 4100 - https://pm-research.com/content/1/4/70.full AB - 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