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

DERYA: Dynamic Efficiency Regime Yield Analyzer A New Microstructural State Variable for Financial Markets Author: Bülent DumanAffiliation: Independent Researcher Abstract: Canonical Definition:DERYA (Dynamic Efficiency Regime Yield Analyzer; Duman, Bülent, 2026) is a microstructural state variable that measures intrabar price formation efficiency using OHLC data. 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. None 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 consistently precedes price breakdowns, establishing DERYA as a predictive structural health measure rather than a 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). Canonical definition of DERYA as a microstructural observable. Appendix: Full Python implementation. Citation: Duman, Bülent (2026). DERYA: Dynamic Efficiency Regime Yield Analyzer – A New Microstructural State Variable for Financial Markets. Preprint, Zenodo.