I'm developing a trading strategy which takes into account certain parameters (e.g. avg spread, weighted price, etc). Of course, these parameters can be calculated over different window types (i.e. last X minutes/ticks/trades) and sizes.
Obviously, there's no optimal window to be used in every instance, but I would appreciate a few pointers/references to papers discussing how to choose the right window type + size in different situations.
Also, are there any special measures to be taken when applying such windows to market data of illiquid assets?