Construct · 1 fields · 1 citations

order flow toxicity: a standalone construct

One name. One construct. A landmark on the map.

● anchor · a standalone construct Nearest construct by meaning·not indexed
order flowtoxicity1 CONSTRUCTOrder flow toxicityEASLEY · MARKET MICROSTRUCTURE

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Market microstructure

the degree to which order flow adversely selects liquidity providers, measured in volume time and linked to liquidity breakdowns.

In market microstructure, order flow toxicity refers to the degree to which order flow adversely selects liquidity providers, measured in volume time and linked to liquidity breakdowns. This meaning comes from Easley (2012) in Review of Financial Studies.[1]

Unit
Recovery means
Measured by

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Nearby constructs

degree1 fields · 1 citationsanchor · a standalone constructflow6 names · 12 citationsjangle · five names, one experience, partlyliquidity2 fields · 2 citationsjingle · one word, two constructs

References

  1. Easley, D., López de Prado, M. M., & O'Hara, M. (2012). Flow Toxicity and Liquidity in a High-frequency World. Review of Financial Studies, 25(5), 1457-1493. https://doi.org/10.1093/rfs/hhs053

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