Olkhov, Victor (2022): MarketBased Asset Price Probability.
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Abstract
We consider the randomness of market trade values and volumes as the origin of asset price stochasticity. We define the first four marketbased price statistical moments that depend on statistical moments and correlations of market trade values and volumes. Marketbased price statistical moments coincide with conventional frequencybased ones if all trade volumes are constant during the time averaging interval. We present approximations of marketbased price probability by a finite number of price statistical moments. We consider the consequences of the use of marketbased price statistical moments for assetpricing models and ValueatRisk. We show that the use of volume weighted average price results in zero pricevolume correlations. We derive marketbased correlations between price and squares of volume and between squares of price and volume. To forecast marketbased price volatility at horizon T one should predict the first two statistical moments of market trade values and volumes and their correlations at the same horizon T.
Item Type:  MPRA Paper 

Original Title:  MarketBased Asset Price Probability 
English Title:  MarketBased Asset Price Probability 
Language:  English 
Keywords:  asset price; price probability; returns; inflation; market trades 
Subjects:  C  Mathematical and Quantitative Methods > C0  General > C01  Econometrics C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C58  Financial Econometrics E  Macroeconomics and Monetary Economics > E3  Prices, Business Fluctuations, and Cycles > E31  Price Level ; Inflation ; Deflation E  Macroeconomics and Monetary Economics > E3  Prices, Business Fluctuations, and Cycles > E37  Forecasting and Simulation: Models and Applications 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:  120026 
Depositing User:  Victor Olkhov 
Date Deposited:  12 Feb 2024 14:41 
Last Modified:  12 Feb 2024 14:41 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/120026 
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The MarketBased Asset Price Probability. (deposited 20 May 2022 13:25)

The MarketBased Asset Price Probability. (deposited 15 Aug 2022 02:23)
 MarketBased Asset Price Probability. (deposited 12 Feb 2024 14:41) [Currently Displayed]

The MarketBased Asset Price Probability. (deposited 15 Aug 2022 02:23)