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- W2950653595 abstract "A first attempt at obtaining market--directional information from a non--stationary solution of the dynamic equation price tends to the value that maximizes the number of shares traded per unit time [1] is presented. We demonstrate that the concept of price is poorly applicable to market dynamics. Instead, we consider the execution flow đŧ=dđ/dđĄ operator with the impact from the future term providing information about not--yet--executed trades. The impact from the future on đŧ can be directly estimated from the already--executed trades, the directional information on price is then obtained from the experimentally observed fact that the đŧ and đ operators have the same eigenfunctions (the exact result in the dynamic approximation đ=đâŽđŧâ¯). The condition for no information about the future is found and directional prediction quality is discussed. This work makes a substantial contribution toward solving the ultimate market dynamics problem: find evidence of existence (or proof of non--existence) of an automated trading machine which consistently makes positive PīŧL on a free market as an autonomous agent (aka the existence of the market dynamics equation). The software with a reference implementation of the theory is provided." @default.
- W2950653595 created "2019-06-27" @default.
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- W2950653595 date "2016-01-01" @default.
- W2950653595 modified "2023-09-23" @default.
- W2950653595 title "Market Dynamics. On a Muse of Cash Flow and Liquidity Deficit" @default.
- W2950653595 doi "https://doi.org/10.2139/ssrn.3040580" @default.
- W2950653595 hasPublicationYear "2016" @default.
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