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

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  • Vladislav Gennadievich Malyshkin
  • Mikhail Gennadievich Belov

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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  • Vladislav Gennadievich Malyshkin & Mikhail Gennadievich Belov, 2022. "Market Directional Information Derived From (Time, Execution Price, Shares Traded) Sequence of Transactions. On The Impact From The Future," Papers 2210.04223, arXiv.org.
    • Handle: RePEc:arx:papers:2210.04223
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    File URL: http://arxiv.org/pdf/2210.04223
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    Cited by:

    1. Linda Boudjemila & Alexander Bobyl & Vadim Davydov & Vladislav Malyshkin, 2022. "On a Moving Average with Internal Degrees of Freedom," Papers 2211.14075, arXiv.org.

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