Olkhov, Victor (2020): Volatility Depend on Market Trades and Macro Theory.
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Abstract
We show that the price and returns volatilities depend on the first and the second degree of the total values and the total volumes of the transactions aggregated during averaging time interval Δ. We derive expressions that describe price volatility via volatilities of the value and the volume and the number of trades during interval Δ. We introduce notions of the value and the volume returns and describe price returns volatility through volatilities of the volume and the value returns and number of trades during Δ. We describe price and returns random processes probability distributions by the complete set of statistical moments determined by corresponding nth degrees products of the values and the volumes of the executed market transactions. Adequate model of volatility requires macroeconomic theory that describes seconddegree value and volume of transactions, the seconddegree macro variables and expectations. This problem doubles the complexity of the current macroeconomic and financial theory.
Item Type:  MPRA Paper 

Original Title:  Volatility Depend on Market Trades and Macro Theory 
English Title:  Volatility Depend on Market Trades and Macro Theory 
Language:  English 
Keywords:  price and returns volatility, pricevolume relations, macro theory 
Subjects:  C  Mathematical and Quantitative Methods > C0  General > C02  Mathematical Methods C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C10  General E  Macroeconomics and Monetary Economics > E0  General > E00  General E  Macroeconomics and Monetary Economics > E4  Money and Interest Rates > E44  Financial Markets and the Macroeconomy G  Financial Economics > G0  General > G00  General G  Financial Economics > G1  General Financial Markets > G10  General G  Financial Economics > G1  General Financial Markets > G11  Portfolio Choice ; Investment Decisions G  Financial Economics > G1  General Financial Markets > G12  Asset Pricing ; Trading Volume ; Bond Interest Rates G  Financial Economics > G1  General Financial Markets > G17  Financial Forecasting and Simulation 
Item ID:  103358 
Depositing User:  Victor Olkhov 
Date Deposited:  09 Oct 2020 11:22 
Last Modified:  17 May 2022 11:42 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/103358 
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Volatility Depend on Market Trades and Macro Theory. (deposited 15 Aug 2020 14:36)
 Volatility Depend on Market Trades and Macro Theory. (deposited 09 Oct 2020 11:22) [Currently Displayed]