Accuracy of economic theories and efficiency of economic policy strictly depend on the choice of the economic variables and processes mostly liable for description of economic reality. That states the general problem of assessment of any possible economic variables and processes chargeable for...

This paper considers common consumption-based asset pricing model and derives approximations of the basic pricing equation that describes mutual dependence of the mean price “to-day”, mean payoff “next-day”, price and payoff volatility and impact of the price and payoff autocorrelations....

This paper considers direct dependence of the market price autocorrelation on statistical moments of the market trades as a must necessary requirement. We regard market time-series of the trade value and volume as origin of price time-series. That determines dependence of the market-based...

Forecasting of business cycles and description of fluctuations of different variables are of great importance for economic policy and development. We model macroeconomics as system of economic agents. Aggregations of agents’ variables as credits, investment, demand and etc., define...

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,...

This paper considers asset price as a random variable during the averaging interval Δ and introduces the market-based price probability. We substitute the problem of guessing the “correct” form of the asset price probability by approximate description of random price properties by the...