论文标题
波动率取决于市场交易和宏观理论
Volatility Depends on Market Trades and Macro Theory
论文作者
论文摘要
我们将市场贸易的随机性视为价格的起源和返回随机性。我们将贸易价值和数量的时间序列视为平均间隔δ期间的随机变量，并描述了基于市场的价格的依赖性以及对市场贸易价值和数量的波动和相关性的依赖性。我们描述了宏观经济变量准确性的下限的基于市场的起源，并以宏观经济投资的准确性为例。我们强调，当前的宏观经济模型描述了由贸易值或体积总和确定的一阶变量之间的关系。为了预测宏观经济变量的价格，回报和波动性的基于市场的波动，应该开发计量经济学方法，收集数据并详细阐述了第二阶和第二阶经济变量相互依赖的第二阶宏观经济理论。第二阶的宏观经济理论的缺乏并不意味着预测基于市场的价格和回报率的经济基础，以及任何宏观经济变量的波动。反过来，这限制了高斯分布中最佳情况下的价格，回报和宏观经济变量的准确性的准确性。
We consider the randomness of market trade as the origin of price and return stochasticity. We look at time series of trade values and volumes as random variables during the averaging interval Δ and describe the dependences of market-based volatilities of price and return on the volatilities and correlations of market trade values and volumes. We describe the market-based origin of the lower boundaries of the accuracy of macroeconomic variables and consider, as an example, the accuracy of macroeconomic investments. We highlight that current macroeconomic models describe relations between the 1st order variables determined by sums of trade values or volumes. To predict market-based volatilities of price, return, and volatilities of macroeconomic variables, one should develop econometric methodologies, collect data, and elaborate macroeconomic theories of the 2nd order that model the mutual dependence of the 1st and 2nd order economic variables. The absence of macroeconomic theories of the 2nd order means no economic basis for predictions of market-based volatilities of price and return, as well as volatilities of any macroeconomic variables. In turn, that limits the accuracy of forecasting probabilities of price, return, and the accuracy of macroeconomic variables in the best case by Gaussian distributions.
