---
title: Market Liquidity Estimation with Machine Learning
url: https://www.ml-quant.com/papers/ssrn/4666684/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4666684
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4666684
featured: 2023-12-20
citations: unknown
topic: Trading, Microstructure & Execution
---


# Market Liquidity Estimation with Machine Learning

Machine learning is used to estimate the average daily bid-ask spread in the US and Chinese stock markets, enhancing performance by capturing more raw data and utilizing learned nonlinear relationships.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4666684
- Identifier: SSRN 4666684
- Released: 2023-03-03
- First featured: Quant Letter No. 30 (2023-12-20): https://www.ml-quant.com/issues/2023-12-20/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Trading, Microstructure & Execution

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