6,912,511 Method of monitoring market liquidity
  Issued: June 28, 2005
  Filed: August 18, 2000
  U.S. Class: 705/37
Abstract:  The present invention provides market participants the ability to infer the current internal state, i.e., the depth and activity of active buyers and sellers, in a variety of markets, such as double-auction markets. The invention does so by measuring certain averages and correlations of various indicators of market liquidity and producing useful market liquidity assessments and trader recommendations as a result. Various measures of market liquidity such as the bid-offer spread, the time to mid-market trade, spread fluctuations, deal rate, and bid and offer size are correlated, and monitored to assess a market's current internal state. From that information, the relationship between fluctuations in the bid price and the average number of buyers can be calculated to determine whether, for example, there is an excess of buyers or sellers in the market. Accordingly, based upon such calculations, accurate trader recommendations may be produced.

Posted by GEN-ERIC at 11:53:12 am into the following categories: Patents of the Day

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