This monograph presents the foundations of the probabilistic theory of stock exchanges, built on the basis of probabilistic economic theory. Analytical and numerical methods of this theory are used for calculation of temporal dynamics of market prices and trade volumes of various assets on the Moscow Exchange and Intercontinental Exchange Futures Europe during one trading session and a detailed comparison of the theoretical results with the corresponding experimental data. This comparison demonstrates a good agreement between the theory and experiment, which allows us to assert that the main scientif ic problem of this study is solved inthe monograph, namely, it is shown that probabilistic economic theory finds its experimental confirmation and thereby acquires its solid experimental justification.This monograph may seem interesting to everyone who is engaged in research ineconomics, finance, econophysics or physical economics, as well as to professional investors and stock traders.
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Anatoly Kondratenko. Probabilistic Theory of Stock Exchanges
PREFACE
FREQUENTLY USED SYMBOLS
INTRODUCTION
Chapter 1. FUNDAMENTALS OF PROBABILISTIC ECONOMICS
Chapter 2. FOUNDATIONS OF PROBABILISTIC STOCK EXCHANGE THEORY
Chapter 3. COMPARISON OF THE THEORY WITH EXPERIMENT
Chapter 4. STOCK EXCHANGE AS EXPERIMENTAL ECONOMIC LABORATORY
Chapter 5. UNCERTAINTY THEORY
Chapter 6. PROBABILISTIC IMITATION MODELING OF REAL ECONOMY MARKETS
Chapter 7. PROBABILISTIC THEORY OF STOCK EXCHANGE ECONOMIES
Chapter 8. DIGITALIZATION, FORECASTING AND MANAGEMENT OF THE GLOBAL ECONOMY
Chapter 9. BEGINNINGS OF THE THEORY OF STOCK EXCHANGE GAMES
FUNDAMENTAL FINDINGS OF THE STUDY
AFTERWORD
REFERENCES
Отрывок из книги
Г– agent width
MOEX – Moscow Exchange
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We will speak (for the sake of brevity) of this aggregate agents’ movement as market behavior, and sometimes as the economy evolution over time. All these terms are essentially synonymous in this context of discussion. Thus, by putting up desired prices and quantities as their quotations, buyers and sellers take part in the market process, proceeding here in the format of negotiations between bargaining people (homo negotians) seeking to bargain for the best terms for themselves in concluding a deal and achieving market goals. Let us note that in reality the actions of market agents include the procedures of concluding final deals along with quotations, but these procedures are automatically accounted by means of changing quotations by market agents after the conclusion of deals. Therefore, there is no need to Explicitly include the procedure of concluding transactions in the structure of agents' actions, it is enough to take into account only the quotation process in the course of trading.
Fig. 1.3. Diagram of buyer and seller trajectories. The dynamics of the classical two-agent market economy in the economic space of price (a) and quantity (b) is depicted. Together, both parts of the figure represent the evolution of the economy over time in two-dimensional PQ-space.
