Market-Based Asset Price Probability
创建于 更新于
摘要
The paper derives analytic relations showing that market-based statistical moments of asset prices (VWAP mean, variance and third moment/ skewness) depend explicitly on the moments and covariances of trade values and trade volumes, demonstrates that frequency-based moments are the special case with constant volumes, proves price–volume covariance (with prices and volumes) is zero under market-based definitions and argues this limitation constrains VaR and macro/market model accuracy; practical formulas and normalized coefficients (ψ, χ, φ) for variance and higher moments are provided [page::0][page::4][page::12][page::9][page::8][page::11]
