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The Market-Based Statistics of “Actual” Returns of Investors

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  • Olkhov, Victor

Abstract

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, purchased values and volumes of stocks and that differs it from conventional regular statistics based on frequency analysis of returns time-series. We start with description of statistical moments of returns, which Investor gains via a single sale due to his multiple purchases in the past. The second level describes statistics of returns, which Investor gains performing numerous market sales during the “trading day”. The third level describes statistics of returns that different Investors gain during the “trading day”. We derive dependence of statistical moments of returns on statistical moments of market sale values, purchased values and volumes of stocks. In its turn, statistical moments of trade values and volumes for finite number of market trades during the “trading day” are assessed via regular frequency-based probability.

Suggested Citation

  • Olkhov, Victor, 2023. "The Market-Based Statistics of “Actual” Returns of Investors," MPRA Paper 116896, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:116896
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    References listed on IDEAS

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    14. Olkhov, Victor, 2022. "Price and Payoff Autocorrelations in the Consumption-Based Asset Pricing Model," MPRA Paper 112255, University Library of Munich, Germany.
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    More about this item

    Keywords

    asset pricing; stock returns; volatility; correlations; probability; market trades;
    All these keywords.

    JEL classification:

    • C0 - Mathematical and Quantitative Methods - - General
    • C80 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - General
    • G1 - Financial Economics - - General Financial Markets
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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