# 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},
journal={Financial Engineering eJournal},
year={2018}
}
• V. Malyshkin
• Published 15 February 2018
• Economics
• Financial Engineering eJournal
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…
6 Citations
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### The Spectral approach to timeserie bursts analysis (Спектральный подход к анализу всплесков временной последовательности)

• ISSN 0131-5226.Теоретический и научно-практический журнал. ИАЭП. , 77–85 (2018), doi:10.24411/0131-5226-2018-10010.
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The disbalance of Supply and Demand is typically considered as the driving force of the markets. However, the measurement or estimation of Supply and Demand at price different from the execution