What question did this study set out to answer?

The aim is to introduce DERYA as a means to measure the internal efficiency of price formation in financial markets.

January 25, 2026Open Access

DERYA: Dynamic Efficiency Regime Yield Analyzer - A New Microstructural State Variable for Financial Markets

Key Points

The aim is to introduce DERYA as a means to measure the internal efficiency of price formation in financial markets.
Define and quantify intrabar efficiency using net price displacement and total intrabar travel.
Construct a four-regime system to describe market behaviors.
Perform statistical validation including Granger causality and Sharpe ratio tests.
DERYA effectively reveals market structural quality and health, predicting price breakdowns.
Comparative analysis indicates its advantages over traditional indicators like RSI and MACD.
Statistical tests validate the robustness of DERYA as a non-derivable measure from traditional price moments.

Abstract

DERYA: Dynamic Efficiency Regime Yield Analyzer A New Microstructural State Variable for Financial Markets Author: Bülent DumanAffiliation: Independent Researcher Abstract: We introduce DERYA (Dynamic Efficiency Regime Yield Analyzer), a novel microstructural state variable that measures the internal efficiency of price formation inside each trading bar. Existing financial indicators measure price displacement, volatility, momentum, or trend across bars.Few existing indicators explicitly measure how efficiently price converts its internal movement into directional progress.. DERYA defines and quantifies this missing dimension by computing the ratio between net price displacement and total intrabar travel, thereby revealing the structural quality of market movement. By combining normalized efficiency, its first and second derivatives, and a transition-strength operator, DERYA constructs a four-regime dynamical system that describes market expansion, exhaustion, collapse, and recovery.Empirical behavior across asset classes demonstrates that structural deterioration detected by DERYA tends to precede price breakdowns, positioning DERYA as a structural health measure rather than a purely lagging trend indicator. Key Content: Theoretical derivation of intrabar efficiency. Comparative analysis against RSI, MACD, and Kaufman’s ER. Statistical validation (Granger causality and Sharpe ratio tests). Formal definition of DERYA as a microstructural observable. Appendix: Reference Python implementation. Citation: Duman, B. (2026). DERYA: Dynamic Efficiency Regime Yield Analyzer – A New Microstructural State Variable for Financial Markets (Version 2.0). Zenodo. https://doi.org/10.5281/zenodo.18181901 "Version 2 (v2.0) Update: This version includes comprehensive new statistical validations, including Ablation Analysis, Mutual Information Gain tests, and Moment-Matched Surrogate Analysis to further verify the non-derivability of DERYA from standard price moments."

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