论文标题
基于市场的价格自相关
Market-Based Price Autocorrelation
论文作者
论文摘要
本文假设市场贸易价值的随机性和数量决定了随机市场价格的性质。我们得出了前两个价格统计矩的直接依赖性以及价格波动对统计矩，波动和市场贸易价值和量的相关性的直接依赖性。这有助于描述时间t和t-τ之间基于市场的价格自相关的依赖性对统计矩和贸易价值和数量之间的相关性的依赖。这凸显了市场交易规模随机性对价格统计时刻和自相关的影响。市场贸易价值和体积的统计矩和相关性通过常规基于频率的概率评估。通过基于频率的价格时间序列评估的基于市场的价格自相关和自相关之间的区别揭示了价格概率定义的不同方法。为了预测基于市场的价格自相关，应该预测贸易价值和量的统计矩和相关性。
This paper assumes that the randomness of market trade values and volumes determines the properties of stochastic market prices. We derive the direct dependence of the first two price statistical moments and price volatility on statistical moments, volatilities, and correlations of market trade values and volumes. That helps describe the dependence of market-based price autocorrelation between times t and t-τ on statistical moments and correlations between trade values and volumes. That highlights the impact of the randomness of the size of market deals on price statistical moments and autocorrelation. Statistical moments and correlations of market trade values and volumes are assessed by conventional frequency-based probabilities. The distinctions between market-based price autocorrelation and autocorrelation that are assessed by the frequency-based probability analysis of price time series reveal the different approaches to the definitions of price probabilities. To forecast market-based price autocorrelation, one should predict the statistical moments and correlations of trade values and volumes.
