We postulates, and then show experimentally, that liquidity deficit is thedriving force of the markets. In the first part of the paper a kinematic ofliquidity deficit is developed. The calculus-like approach, which is based onRadon--Nikodym derivatives and their generalization, allows us to calculateimportant characteristics of observable market dynamics. In the second part ofthe paper this calculus is used in an attempt to build a dynamic equation inthe form: future price tend to the value maximizing the number of shares tradedper unit time. To build a practical automated trading machine P&L dynamicsinstead of price dynamics is considered. This allows a trading automateresilient to catastrophic P&L drains to be built. The results are verypromising, yet when all the fees and trading commissions are taken intoaccount, are close to breakeven. In the end of the paper important criteria forautomated trading systems are presented. We list the system types that can andcannot make money on the market. These criteria can be successfully applied notonly by automated trading machines, but also by a human trader.
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