TY - JOUR T1 - Measuring Market Impact and Liquidity JF - The Journal of Trading SP - 70 LP - 84 DO - 10.3905/jot.2006.654303 VL - 1 IS - 4 AU - Galen Burghardt AU - Jerry Hanweck, Jr AU - Lauren Lei Y1 - 2006/09/30 UR - https://pm-research.com/content/1/4/70.abstract N2 - 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 ER -