论文标题
基于市场的资产价格概率
Market-Based Asset Price Probability
论文作者
论文摘要
我们将数量加权平均价格（VWAP）视为基于第一个市场的统计矩，并得出了更高的价格统计矩对市场交易的统计矩和相关性的依赖性。如果在平均间隔中所有贸易量都是恒定的，则基于市场的统计矩等于基于频率的。我们通过有限数量的统计矩将基于市场的价格的概率近似。 VWAP的使用导致价格零数量的相关性。我们得出了价格与贸易量的正方形之间以及价格和价格之间的基于市场的相关性的表达方式。为了预测基于市场的平均值和资产价格的波动，应该预测两个统计时刻以及其贸易价值和量的相关性。我们解释了这是如何限制预测价格统计矩的数量，并通过高斯近似值的准确性限制了资产价格概率的预测准确性。为了提高大型宏观经济和市场模型的准确性和可靠性，例如贝莱德（BlackRock）的阿拉丁（Aladdin），摩根（JP Morgan）和美国美联储（Aladdin）开发的，开发商应使用基于市场的统计资产价格时刻。
We consider volume weighted average price (VWAP) as the 1st market-based statistical moment and derive the dependence of higher statistical moments of price on statistical moments and correlations of the values and volumes of market trades. If all trade volumes are constant during the averaging interval, then the market-based statistical moments equal the frequency-based. We approximate market-based probability of price by a finite number of statistical moments. The use of VWAP results in zero price-volume correlations. We derive the expressions of market-based correlations between prices and squares of trade volumes and between squares of prices and volumes. To forecast market-based averages and volatility of asset prices, one should predict two statistical moments and the correlation of their trade values and volumes. We explain how that limits the number of predicted statistical moments of prices by the first two and limits the accuracy of the forecasts of the probability of asset prices by the accuracy of the Gaussian approximations. To improve the accuracy and reliability of large macroeconomic and market models like those developed by BlackRock's Aladdin, JP Morgan, and the U.S. Fed., the developers should use market-based statistical moments of asset prices.
