Mosaic Smart Data Published Matrix Comparing Liquidity Profiles Between Normal and Stressed Market Conditions for Different Currency Pairs

Source: Fazzaco 2020-08-12

Many companies have launched their new moves to respond to market volatility and grasp the trend of the market. Fazzaco has noticed that to understand major shifts in liquidity profiles between normal and stressed market conditions (COVID-19), Mosaic Smart Data published on FXliquidity website the chart analysis using its own Natural Language Generation (NLG) technology and scored liquidity of 11 currency pairs based on the data in pre-COVID period (1st June 2019–20th February 2020), recent period (8th July–29th July), and COVID peak period (21st February–20th March).

Source: FXliquidity official website

The data shows that compared with before the epidemic, the EUR/USD and USD/JPY directional volume indicators have strengthened, with an average daily increase of about US$400 billion, especially in the opening hours of the European and American markets. The liquidity score of most foreign exchange products remained basically unchanged, but the USD/JPY liquidity score fell by 4%.

The analysis uses non-dealer data, excluding CLS inter-dealer data. This is because non-dealers such as companies, hedge fund companies, and non-bank financial institutions have limited channels or even no channels to connect to the interbank foreign exchange market.

Source: FXliquidity official website

FXliquidity considers multiple factors when modeling liquidity, including market influence, normalization of order imbalances, the proportion of hourly settlement transactions, and autocorrelation. The liquidity score of each currency pair is between 0 and 1. The higher the score, the better the liquidity.

FXliquidity is a new service launched by Mosaic Smart Data in conjunction with CLS and MUFG, aiming to improve the transparency of the foreign exchange market.

Chart Source: FXliquidity official website

Mosaic Smart Data Published Matrix Comparing Liquidity Profiles Between Normal and Stressed Market Conditions for Different Currency Pairs

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