A common problem in quantitative finance is discovering a new signal that looks really good, but having it fall apart when exposed to real market conditions. This is often due to a lack of accounting for things like asset liquidity and slippage. By starting from a universe that takes volume, slippage, and liquidity into account, we can avoid wasting time during the development of trading signals. In this lecture, we cover liquidity and its relationships with both volume and slippage.
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