Mathematical Foundations of Realtime Equity Trading. Liquidity Deficit and Market Dynamics. Automated Trading Machines

Understand

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 developed.
• The calculus-like approach, which is based on Radon--Nikodym derivatives and their generalization, allows us to calculate important characteristics of observable market dynamics.
• In the second part of the paper this calculus is used in an attempt to build a dynamic equation in the form: future price tend to the value maximizing the number of shares traded per unit time.