# Market Dynamics: On Directional Information Derived From (Time, Execution Price, Shares Traded) Transaction Sequences

## TL;DR

This paper introduces a novel market analysis method that uses execution flow to identify relevant price moves, leading to a scalp-price indicator that signals market trend changes based on high-impact trading events.

## Contribution

It defines the scalp-price based on high execution flow events, advancing market direction detection by focusing on dynamic impact rather than volume.

## Key findings

- Scalp-price effectively signals market trend changes.
- High execution flow correlates with significant price moves.
- The method emphasizes market-relevant price dynamics.

## Abstract

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.