Finding Market Liquidity Insights with Data Science

Joel Sebold

18 Aug 2020CPOL6 min read

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An often neglected — but ultimately fundamental — driver of financial markets is liquidity. Combining data science skills and techniques, the Refinitiv Labs Liquidity Discovery project provides in-depth market liquidity insights to enable more informed trading decisions.

In this article we look at the ways the Refinitiv Labs Liquidity Discovery project is helping to explore new ways to discover market liquidity, through concepts such as trading aggressiveness, price impact, volatility of liquidity, and pricing liquidity.

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This article, along with any associated source code and files, is licensed under The Code Project Open License (CPOL)

Written By

Joel Sebold

United States

Joel is a senior data scientist at Refinitv Labs NYC, working the area of market microstructure and analytics for liquidity, fragmented markets, trading, and execution.

He earned his PhD from New York University in Physics, and has worked extensively in technology in financial industry for Merrill Lynch BofA, Bloomberg and now Refinitiv.

His main interests center on applying physical concepts to markets that have resulted in multiple articles describing fast measurements of current market volatility and correlation (eVol, eCorr), and is co-inventor the latter.

He is currently working on a suite of derived liquidity analytics as a product feed that uses limit order book data.

Finding Market Liquidity Insights with Data Science

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