This could be an allergic reaction to soap/shampoo, reaction to hair colouring product or to hair products. Have you tried anything new or switched over brands in the recent past?
Allergy is caused by an oversensitive immune system, which leads to a misdirected immune response. It can present with itching, burning and appearance of bumps.
Treatment is with anti-histamines like Cetrizine/Loratididne etc. you can apply a menthol-based cream/lotion on the scalp to cool the area.
Stop using any allergen that you can identify.
Thinning of the hair if associated with the burning could be Seborrhoeic dermatitis. Shampoos containing coal tar, ciclopiroxolamine ketoconazole, selenium sulfide, or zinc pyrithione will help in alleviating the symptoms.
If neither of this fits in with your condition, then it could be some underlying medical condition which needs to be investigated.
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