We introduce the new price probability measure, which entirely depends on the probability measures of the value and the volume of the market trades. We define the nth statistical moment of the price as the ratio of the nth statistical moment of the value to the nth statistical moment of the...

This paper describes expectations and Buy-Sell transactions of assets as ground for modeling trading volume and price fluctuations. We study simple model of mutual relations between transactions and expectations and derive economic equations that describe disturbances of asset prices, trading...

The consideration of an averaging interval Δ of market trade time-series change the basic consumption-based asset pricing equation. The duration of Δ determines Taylor series of investor’s utility over current and future values of consumption. We present consumption at current and future...

This paper describes asset price and return disturbances as result of relations between transactions and multiple kinds of expectations. We show that disturbances of expectations can cause fluctuations of trade volume, price and return. We model price disturbances for transactions made under all...

This paper models price volatility through description of the second-degree transactions and expectations averaged by time interval Δ. We call it - the second-order economic theory. First two price statistical moments define volatility. To model volatility one needs description of the squares...

The paper presents the unified theoretical description of three levels of the market-based statistical moments of “actual” returns, which Investors gain within their market sales. The market-based statistics of “actual” returns takes into account the size of the trade sale values,...