Econophysics of Asset Price, Return and Multiple Expectations

• Tác giả: Victor Olkhov
• Ngôn ngữ: eng
• Ký hiệu phân loại: 332.46 Monetary policy
• Thông tin xuất bản: 2019
• Bộ sưu tập: Metadata
• ID: 162556

Tóm tắt

Comment: 23 pagesThis paper describes asset price and return disturbances as result of relations between transactions and multiple kinds of expectations. We show that disturbances of expectations can cause fluctuations of trade volume, price and return. We model price disturbances for transactions made under all types of expectations as weighted sum of partial price and trade volume disturbances for transactions made under separate kinds of expectations. Relations on price allow present return as weighted sum of partial return and trade volume "return" for transactions made under separate expectations. Dependence of price disturbances on trade volume disturbances as well as dependence of return on trade volume "return" cause dependence of volatility and statistical distributions of price and return on statistical properties of trade volume disturbances and trade volume "return" respectively.