The Market-Based Asset Price Probability
V Olkhov - arXiv preprint arXiv:2205.07256, 2022 - arxiv.org
This paper considers asset price as a random variable during the averaging interval {\Delta}
and introduces the market-based price probability. We substitute the problem of guessing …
and introduces the market-based price probability. We substitute the problem of guessing …
Three Remarks On Asset Pricing
V Olkhov - arXiv preprint arXiv:2105.13903, 2021 - arxiv.org
We consider the time interval ${\Delta} $ during which the market trade time-series are
averaged as the key factor of the consumption-based asset-pricing model that causes …
averaged as the key factor of the consumption-based asset-pricing model that causes …
Price and Payoff Autocorrelations in the Consumption-Based Asset Pricing Model
V Olkhov - arXiv preprint arXiv:2204.07506, 2022 - arxiv.org
This paper considers common consumption-based asset pricing model and derives
approximations of the basic pricing equation that describes mutual dependence of the mean …
approximations of the basic pricing equation that describes mutual dependence of the mean …
Price, Volatility and the Second-Order Economic Theory
V Olkhov - Available at SSRN 3688109, 2020 - papers.ssrn.com
We introduce the price probability measure η (p; t) that defines the mean price p (1; t), mean
square price p (2; t), price volatility σp2 (t) and all price n-th statistical moments p (n; t) as …
square price p (2; t), price volatility σp2 (t) and all price n-th statistical moments p (n; t) as …
To VaR, or Not to VaR, That is the Question
V Olkhov - arXiv preprint arXiv:2101.08559, 2021 - arxiv.org
We consider the core problems of the conventional value-at-risk (VaR) based on the price
probability determined by frequencies of trades at a price p during an averaging time interval …
probability determined by frequencies of trades at a price p during an averaging time interval …
Introduction of the Market-Based Price Autocorrelation
V Olkhov - arXiv preprint arXiv:2202.09323, 2022 - arxiv.org
This paper considers direct dependence of the market price autocorrelation on statistical
moments of the market trades as a must necessary requirement. We regard market time …
moments of the market trades as a must necessary requirement. We regard market time …
Volume-weighted average price tracking: A theoretical and empirical study
D Mitchell, J Białkowski, S Tompaidis - IISE Transactions, 2020 - Taylor & Francis
Abstract The Volume-Weighted Average Price (VWAP) of a security is a key measure of
execution quality for large orders often used by institutional investors. We propose a VWAP …
execution quality for large orders often used by institutional investors. We propose a VWAP …
Classical Option Pricing and Some Steps Further
V Olkhov - arXiv preprint arXiv:2004.13708, 2020 - arxiv.org
This paper considers the asset price p as relations C= pV between the value C and the
volume V of the executed transactions and studies the consequences of this definition for the …
volume V of the executed transactions and studies the consequences of this definition for the …
Business cycles as collective risk fluctuations
V Olkhov - arXiv preprint arXiv:2012.04506, 2020 - arxiv.org
We suggest use continuous numerical risk grades [0, 1] of R for a single risk or the unit cube
in Rn for n risks as the economic domain. We consider risk ratings of economic agents as …
in Rn for n risks as the economic domain. We consider risk ratings of economic agents as …
Volatility Depend on Market Trades and Macro Theory
V Olkhov - arXiv preprint arXiv:2008.07907, 2020 - arxiv.org
This paper presents probability distributions for price and returns random processes for
averaging time interval {\Delta}. These probabilities determine properties of price and …
averaging time interval {\Delta}. These probabilities determine properties of price and …