arXiv · arXiv · 2015
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 a…
Vladislav Gennadievich Malyshkin, Ray Bakhramov
arXiv · arXiv · 2026
Let $L=(L_s)_{0\le s\le t}$ be a cumulative net-loss process and let $M_t=\sup_{0\le s\le t}L_s$. For a candidate reserve $u$ and a distortion function $g$, define $D_g^{(t)}(u)=\int_u^\infty g(P(M_t>v))d v$. This function measures the tail-weighted residual severity of the largest cumulative loss over the horizon. We derive three monetary risk measures: its value at zero reserve and two measures based on fixed and p…
Claude Lefevre, Pierre Zuyderhoff
arXiv · arXiv · 2018
This study analyzes public debts and deficits between European countries. The statistical evidence here seems in general to reveal that sovereign debts and government deficits of countries within European Monetary Unification-in average- are getting worse than countries outside European Monetary Unification, in particular after the introduction of Euro currency. This socioeconomic issue might be due to Maastricht Tre…
Mario Coccia
arXiv · arXiv · 2017
A first attempt at obtaining market--directional information from a non--stationary solution of the dynamic equation "future price tends to the value that maximizes the number of shares traded per unit time" [1] is presented. We demonstrate that the concept of price impact is poorly applicable to market dynamics. Instead, we consider the execution flow $I=dV/dt$ operator with the "impact from the future" term providi…
Vladislav Gennadievich Malyshkin
arXiv · arXiv · 2026
We introduce $\textbf{Slippage-at-Risk (SaR)}$, a quantitative framework for measuring liquidity risk in perpetual futures exchanges. Unlike backward-looking metrics such as Value-at-Risk computed on historical returns or realized deficit distributions, SaR provides a \emph{forward-looking} assessment of liquidation execution risk derived from current order book microstructure. The framework comprises three complemen…
Otar Sepper
arXiv · arXiv · 2016
The disbalance of Supply and Demand is typically considered as the driving force of the markets. However, the measurement or estimation of Supply and Demand at price different from the execution price is not possible even after the transaction. An approach in which Supply and Demand are always matched, but the rate $I=dv/dt$ (number of units traded per unit time) of their matching varies, is proposed. The state of th…
Vladislav Gennadievich Malyshkin