03.09.2016
By Rob Daly

Machines ‘Learn’ Liquidity

Market-data provider Bloomberg has introduced the Bloomberg Liquidity Assessment Tool, which provides risk managers, portfolio managers, traders and compliance officers with the time it would take to exit a position as well as the expected market impact.

The vendor rolled out the capability as an enterprise feed early last year, said Ilaria Vigano, head of regulatory and accounting products group at Bloomberg.

“We launched the terminal functionality to provide consistency between all of the different business functions of our clients, so they can access and reference the data directly,” Vigano said. “The difference between the two is that the enterprise feed that Bloomberg provides to its clients is directly ingested by their systems.”

Ilaria Vigano,Bloomberg

Ilaria Vigano,
Bloomberg

The new terminal function, as well as the enterprise feed, uses machine learning to approach the scarcity of data and transparency in the corporate and government bond markets for more than 130,000 instruments currently.

“It’s a better way to address the multiple dimensions of liquidity and create comparables and clusters were there are not that many trades that can be observed,” she said.

The new functionality uses data provided by exchanges, trading systems, and the Financial Industry Regulatory Authority’s Trace database of fixed-income executions to fuel its calculations and analysis techniques, such as cluster analysis.

“We have extensive resources that power the tool,” Vigano added. “We have global coverage — the U.S., Europe, and emerging markets.”

Bloomberg expects to extend the product’s coverage to include equities, municipal bonds, mortgages, and derivatives. “Those are under development,” she added. “There will be a phased roll-out later this year and the first half of next year.”

Featured image by foto_images/Dollar Photo Club

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