Bloomberg uses machine learning to measure pre-trade liquidity risk

Bloomberg is launching a new tool that leverages machine learning to measure dozens of factors influencing liquidity to help traders better measure their costs to liquidate different securities. The tool, called the Liquidity Assessment Tool (LQA), employs technology that has been in development for more than six years. LQA, which is available on the Bloomberg terminal starting this week, currently contains data for liquidity risk measurement for more than 130,000 corporate and government bonds, but is expected to be expanded in the future to other asset classes, such as equities, munis, mortgages and listed derivatives. “The research started pretty much in response to the crisis in 2008, and shortly thereafter the research commenced on this particular project,” said Ilaria Vigano, head of the regulatory and accounting products group at Bloomberg.…


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