Abstract
By integrating liquidity prediction capabilities into a complex event processing (CEP) platform, institutional investors can obtain a consolidated view of liquidity across multiple trading venues. Liquidity prediction, also known as liquidity detection, enhances the functionality of smart order routing systems by analyzing historical and real-time data. This article discusses various metrics of liquidity measurement including tightness, market depth, resilience, and immediacy. As data volumes continue to grow, CEP technologies provide a scalable and flexible solution that enables investors to optimize execution strategies at low latency.
- © 2010 by Pageant Media Ltd
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