16 citations · 47 across the 13 of their papers we have counts for
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q-fin.CP2022
Market Directional Information Derived From (Time, Execution Price, Shares Traded) Sequence of Transactions. On The Impact From The Future
Vladislav Gennadievich Malyshkin, Mikhail Gennadievich Belov
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 pe…
q-fin.CP2015★ 1 cited
Mathematical Foundations of Realtime Equity Trading. Liquidity Deficit and Market Dynamics. Automated Trading Machines
Vladislav Gennadievich Malyshkin, Ray Bakhramov
We postulates, and then show experimentally, that liquidity deficit is the driving force of the markets. In the first part of the paper a kinematic of liquidity deficit is develope…