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