Patent ID: 6912511

Claim:
A method of determining the current state of a market and producing market state data in accordance with a current market condition, said method comprising the steps of: obtaining initial market data at an initial time (t 1 ), said market data comprising at least a best bid, best offer and market volume (v 1 ) at the initial time; obtaining second market data at a second time (t 2 ), the second time being later than the initial time, said second market data comprising at least a best bid, best offer and market volume (v 2 ) at the second time; calculating a bid-offer spread (S) from at least one of the initial market data and the second market data; calculating an average deal rate (J) in accordance with the following formula: J = v 2 - v 1 t 2 - t 1 ; calculating an exponent (n) of a scaling law; determining a current market liquidity condition in accordance with the scaling law: S˜J n ; and producing a market liquidity assessment in accordance with the current market liquidity condition; wherein at least one of the steps of calculating a bid-offer spread, calculating an average deal rate, calculating an exponent of a scaling law, and determining a current market liquidity condition is performed by a computer.