3 papers
q-fin.CP2025
Trade Execution Flow as the Underlying Source of Market Dynamics
Mikhail Gennadievich Belov, Victor Victorovich Dubov, Vadim Konstantinovich Ivanov +3
In this work, we demonstrate experimentally that the execution flow, , is the fundamental driving force of market dynamics. We develop a numerical framework to calculate…
q-fin.TR2019
Market Dynamics: On Directional Information Derived From (Time, Execution Price, Shares Traded) Transaction Sequences
Vladislav Gennadievich Malyshkin
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 o…
q-fin.TR2016
Market Dynamics vs. Statistics: Limit Order Book Example
Vladislav Gennadievich Malyshkin, Ray Bakhramov
Commonly used limit order book attributes are empirically considered based on NASDAQ ITCH data. It is shown that some of them have the properties drastically different from the one…