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

10/09/2022

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by   Vladislav Gennadievich Malyshkin, et al.

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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.