Market Directional Information Derived From (Time, Execution Price, Shares Traded) Sequence of Transactions. On The Impact From The Future

2022/10/09 by Vladislav Gennadievich Malyshkin, Malyshkin, Vladislav Gennadievich, Mikhail Gennadievich Belov +1 · 1 citation
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Numerical Analysis (math.NA) #Trading and Market Microstructure (q-fin.TR)

paper · pdf · doi:10.48550/arxiv.2210.04223

openalex publication_date 2022/10/09 · openalex created_date 2022/10/12 · openalex updated_date 2026/07/28

Abstract

An attempt to obtain market directional information from non-stationary solution of the dynamic equation: "future price tends to the value maximizing the number of shares traded per unit time" is presented. A remarkable feature of the approach is an automatic time scale selection. It is determined from the state of maximal execution flow calculated on past transactions. Both lagging and advancing prices are calculated.

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• Trade Execution Flow as the Underlying Source of Market Dynamics

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