We measure market liquidity for large-sized orders in the ten-year treasury futures market estimating mean-variance frontiers for their execution cost during the period of 2012 to 2017. We identify large orders from regulatory transaction data and introduce a methodological innovation to infer...

This paper presents an analysis of new, regulatory data on commodity swaps, focused on West Texas Intermediate (WTI) crude oil. We find that commercial end-users have a much larger footprint in the WTI swaps space than financial end-users do. Commercials have a much larger exposure in swaps than...

In electronic, liquid markets, traders frequently change their positions. The distribution of these trader position changes carries important information about liquidity demand in the market. From this distribution of trader position-changes, we construct a marketwide measure for intraday...