The Market-Based Statistics of “Actual” Returns of Investors
Victor Olkhov
MPRA Paper from University Library of Munich, Germany
Abstract:
The paper presents the unified theoretical description of three levels of the market-based statistical moments of “actual” returns, which Investors gain within their market sales. The market-based statistics of “actual” returns takes into account the size of the trade sale values, purchased values and volumes of stocks and that differs it from conventional regular statistics based on frequency analysis of returns time-series. We start with description of statistical moments of returns, which Investor gains via a single sale due to his multiple purchases in the past. The second level describes statistics of returns, which Investor gains performing numerous market sales during the “trading day”. The third level describes statistics of returns that different Investors gain during the “trading day”. We derive dependence of statistical moments of returns on statistical moments of market sale values, purchased values and volumes of stocks. In its turn, statistical moments of trade values and volumes for finite number of market trades during the “trading day” are assessed via regular frequency-based probability.
Keywords: asset pricing; stock returns; volatility; correlations; probability; market trades (search for similar items in EconPapers)
JEL-codes: C0 C80 G1 G11 G12 (search for similar items in EconPapers)
Date: 2023-04-02
New Economics Papers: this item is included in nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
https://mpra.ub.uni-muenchen.de/116896/1/MPRA_paper_116896.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/118982/1/MPRA_paper_118982.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/120285/1/MPRA_paper_120285.pdf revised version (application/pdf)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:116896
Access Statistics for this paper
More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().