Research area

Participation & volume

Convert an order into a fraction of the volume that can actually be reached.

Participation rate starts with a compatible denominator

Convert a cash order into a participation estimate without confusing shares, dollars, total market activity or accessible liquidity.

Choose an ADV window without smuggling in future volume

Build a dated average-volume assumption, diagnose event distortion, and preserve the difference between a scenario input and observed market history.

Participation & volume

A longer execution window buys volume and introduces delay

Compare one-day and multi-day participation scenarios while preserving deadlines, residual exposure and the limitations of a constant-volume calculation.

Participation & volume

Treat auction liquidity as its own execution scenario

Separate auction volume, imbalance information and completion constraints from the continuous-session denominator.