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 the traded volume V (the regular impact). In this paper, an important advancement is achieved: we define the " scalp--price " {\cal P} as the sum of only those price moves that are relevant to market dynamics; the criterion of relevance is a high I. Thus, only "follow the market" (and not "little bounce") events are included in {\cal P}. Changes in the scalp--price defined this way indicate a market trend change --- not a bear market rally or a bull market sell--off . The software calculating the scalp--price given market observations triples (time, execution price, shares traded) is available from the authors.
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 the traded volume V (the regular impact). In this paper, an important advancement is achieved: we define the " scalp-price " {\cal P} as the sum of only those price moves that are relevant to market dynamics; the criterion of relevance is a high I. Thus, only "follow the market" (and not "little bounce") events are included in {\cal P}. Changes in the scalp-price defined this way indicate a market trend change - not a bear market rally or a bull market sell-off; the approach can be further extended to non-local price change . The software calculating the scalp--price given market observations triples (time, execution price, shares traded) is available from the authors.
R
non--stationary
non-stationary
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scalp--price
scalp-price
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scalp--price
scalp-price
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R
sell--off
sell-off; the approach can be further extended to non-local price change