Econophysics of Asset Price, Return and Multiple Expectations

Victor Olkhov

MPRA Paper from University Library of Munich, Germany

Abstract: This 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.

Keywords: financial transactions; expectations; economic space; asset price; return (search for similar items in EconPapers)
JEL-codes: C58 E44 G02 G1 G12 G32 (search for similar items in EconPapers)
Date: 2019-01-19
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Related works:
Working Paper: Econophysics of Asset Price, Return and Multiple Expectations (2020)
Journal Article: The econophysics of asset prices, returns and multiple expectations
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:91587

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