# Market Dynamics: On Directional Information Derived from (Time, Execution Price, Shares Traded) Transaction Sequences

@article{Malyshkin2018MarketDO, title={Market Dynamics: On Directional Information Derived from (Time, Execution Price, Shares Traded) Transaction Sequences}, author={Vladislav Gennadievich Malyshkin}, journal={Financial Engineering eJournal}, year={2018} }

A new approach to obtaining market--directional information, based on a non-stationary solution to the dynamic equation "future price tends to the value that maximizes the number of shares traded per unit time" [1] is presented. In our previous work[2], we established that it is the share execution flow ($I=dV/dt$) and not the share trading volume ($V$) that is the driving force of the market, and that asset prices are much more sensitive to the execution flow $I$ (the dynamic impact) than to…

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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…

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