Geodesic
On measuring the cost of liquidity in the limit order book
Čelâbinskij fiziko-matematičeskij žurnal, Tome 5 (2020) no. 1, pp. 96-104

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The work is devoted to the elaboration and demonstration of a method for measuring the cost of illiquidity in the delta hedging of futures-style options on the Moscow Exchange. Illiquidity is usually measured per unit of asset or money. However, given the specifics of futures, this article proposes to use the total volume of the initial margin and the state of the limit order book. In this case, it becomes possible to compare the cost of illiquidity for various futures. The most liquid futures that are traded on the Moscow Exchange are analyzed and the cost of liquidity is compared.
Keywords: limit order book, illiquidity, hedging, initial margin. 
@article{CHFMJ_2020_5_1_a6,
     author = {M. M. Dyshaev},
     title = {On measuring the cost of liquidity in the limit order book},
     journal = {\v{C}el\^abinskij fiziko-matemati\v{c}eskij \v{z}urnal},
     pages = {96--104},
     publisher = {mathdoc},
     volume = {5},
     number = {1},
     year = {2020},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/CHFMJ_2020_5_1_a6/}
}
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M. M. Dyshaev. On measuring the cost of liquidity in the limit order book. Čelâbinskij fiziko-matematičeskij žurnal, Tome 5 (2020) no. 1, pp. 96-104. http://geodesic.mathdoc.fr/item/CHFMJ_2020_5_1_a6/