PT  - JOURNAL ARTICLE
AU  - Tong Ji
TI  - The Importance of Liquidity Prediction in Order Routing
DP  - 2010 Mar 20
TA  - Trading
PG  - 86--90
VI  - 2010
IP  - 1
4099  - http://guides.pm-research.com/content/2010/1/86.short
4100  - http://guides.pm-research.com/content/2010/1/86.full
AB  - 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.