Our book will show how probability economics gives a reasonably accurate, microscopic description of the exchange phenomena. Regularities and patterns are derived from the detailed structures and mechanisms of work, found in the formation of prices and trade volumes.
We emphasize that for the purposes of this study there is no difference between stock, commodity and other exchanges. The theory being developed is equally suitable for describing any exchange, so henceforth we will use the term “stock exchanges”, or simply “exchanges”. As the main example for the study, several days of intraday dynamics occurring between 2013 and 2020 were chosen of Sberbank shares, Brent crude oil futures («Brent futures») and US dollars on the Moscow Exchange (MOEX) in Moscow.
The quotations of exchange agents used in this case are available on the MOEX website for a small fee, so all the numerical results of this work and its conclusions can be easily verified by other researchers. In addition, the intraday dynamics of Brent futures for several days of 2020 on the Intercontinental Exchange Futures Europe (ICE) in London were similarly studied.
The book is written in the form of a research report, as it presents the results of practical application of the original economic theory. This was developed earlier by the author, specifically to quantitatively solve the direct problem for the exchange markets that were described earlier. As far as we know, there are no other documented studies of this type. For this reason, the book does not provide a detailed overview of the history of the issue, and references are made only to works whose results were used in the development of this theory. Moreover, hundreds of books and articles on econophysics and physical economics have been published relatively recently [Mantegna et al., 1999; Chernavsky D. et al., 2002; Farmer et al., 2005; Richmond et al., 2013; Ippoliti and Cheng (eds.), 2017], as well as articles by David Orrell, for example [(Orrell, 2020]. Together, the latter can be seen as an excellent modern overview of the application of theoretical physics methods used to describe economic phenomena.
Bear in mind that when basing a new economic model that resembles of one from physics, it is useful to employ the latter during the initial stage to help name and define new concepts. We have done so in this book by establishing parallels between the economic many-agent systems, and many-particle systems from physics. This applies, for example, to such terms as microscopic and macroscopic theories, direct and inverse problems, equations of motion, etc. Time will tell which of these new concepts and terms will take root in economics.
In conclusion, we summarize the monograph with a subjective assessment of the results obtained and the conclusions of the study. This monograph presents the basics of the probabilistic theory of exchanges, based on probabilistic economic theory using agent quotations provided by exchanges. By its nature, this exchange theory is microscopic, so its analytical and numerical methods make it possible to calculate and describe various exchange microstructures and microprocesses.
Calculations of this kind, first performed in this study, are also published for the first time in this monograph. Particular attention has been paid to the calculation of market prices and trade volumes of various assets (Sberbank shares, futures for Brent crude oil, US dollars) on the MOEX and ICE (Brent crude oil futures) during one trading session, along with 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 scientific problem of this study is solved in the monograph. We demonstrate that probabilistic economic theory finds its experimental confirmation and thereby acquires a solid experimental justification. This radically distinguishes it from several other economic theories that have a heuristic or empirical character.