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Statement two. Let’s recall the great importance of the long-term observations of the solar system planets behavior [Smith, 2016] in the development of modern physics and what John von Neuma
What about economics? Fortunately, we have at our disposal a wonderful experimental economic laboratory that has the potential to brilliantly play the same role in economics that the solar system has played in physics. These are, of course, the exchanges that determine the market prices of goods, services and, especially important in today's economic world, financial assets of various kinds. Physically speaking, exchanges measure prices at each moment of trading, which are unconditionally accepted by the economic community as market prices, i.e., as valid and fair. By measuring market prices and making them universally available, exchanges play an enormous role in modern economic life, providing everyone with a basis for making crucial economic decisions. Despite the important role of exchanges in the real economy, the importance of exchanges in economic theory is far from significant for the reason that a sufficiently developed theory of the exchange capable of adequately describing the dynamics of exchange prices in real time is not available in literature, as far as we know (see, for example, reviews in [Ippoliti and Cheng, 2017]). It is our purpose in this paper to develop such a dynamic economic theory, and fulfillment of such purpose, among other things, will help to confirm (or refute) the foundations of probabilistic economic theory, which is of particular interest to us. Looking ahead, we note that here, we also found the same "striking simplicity of movement" of market agents, despite the fact that the exchange, without any doubt, is a complex dynamic nonequilibrium probabilistic system.
We have selected several different assets traded on the Moscow Exchange as the initial objects of our study, for the simple reason that historical data on the trading of these assets have recently been posted on the exchange website, so any researcher can use them to verify the correctness of our calculations. Let us emphasize that these historical data contain almost all quotations of all exchange agents at each moment of time during the whole trading day, not only quotations in a small «cup» near the current market price.
Let us clarify once again: this book represents, in fact, the results of the subsequent development of probabilistic economics, which we developed earlier [Kondratenko, 2005, 2015] for quantitative research of multicommodity multi-agent market economies. This theory in a fairly general form is developed on the basis of one axiom and six general principles that have such a simple and clear logic and rationale under them that they can be considered mandatory for inclusion in any sufficiently adequate economic theory. The way this theory can be used to set and quantitatively solve problems of real economic practice is illustrated in the mentioned works by examples of the simplest model economies, namely one-commodity economies with one buyer and one seller. In the present paper, we show how these theories can be used to quantitatively describe more complex real market economic systems, e.g., highly organized regulated commodity, stock or financial markets with a generally unlimited number of agents, namely exchanges. It turned out that for this purpose it is enough to introduce one more important assumption, namely the equivalence hypothesis, which we will describe further in detail. The good agreement of the calculated exchange prices and trade volumes with the experimental values during the whole day trading session for various assets serves as a direct proof that the theory of exchanges is based on correct principles and hypotheses. The main final result of this work can be considered to be the creation of the organized markets (first of all exchanges) theory fundamentals, the application of which already at the initial development stage has given us an opportunity to shed light on the basic rules governing the functioning of highly organized markets.
Chapter 1
FUNDAMENTALS OF PROBABILISTIC ECONOMICS
"In what follows I have endeavored to reduce the complex phenomena of human economic activity to the simplest elements that can still be subjected to accurate observation, to apply to these elements the measure corresponding to their nature, and constantly adhering to this measure, to investigate the ma
Carl Menger [2007]
This chapter describes probabilistic economic theory in sufficient detail, starting from the formulation of the most general statement of the problem to the derivation of the fundamental formulas, using the simplest model of a two-agent economy as an example. To begin with and to avoid misunderstandings and ambiguities, let us repeat once again that, according to the ideology of the physical method, probabilistic economics is a theory that is developed using formal methods of theoretical physics or, in other words, by analogy with how theoretical physics is developed, but, fundamentally, it is an economic theory rather than a physical one, since it studies the structure and dynamics of the economic world, where rules are not in any way directly related to physical laws that describe the structure and dynamics of the natural world. This is already clear from the fact that the subjects of the economic world are people and their actions in the processes of exchange of goods and services, whereas the subjects of the physical world are particles and fields, in particular atoms. And, to be definite, let us also emphasize that this new economic theory was based on the classical concept of supply and demand, that was reinterpreted in the style of modern probabilistic scientific thinking.
There is no doubt that the modern real economy is a complex, nonequilibrium, dynamic system. Therefore, it is possible and necessary to actively study its structure and dynamics in different ways and from different points of view. Our point of view is that we look at the economy mainly as a set of a huge number of intelligently thinking and dynamically acting people, each of whom is "not only homo sapiens, but no less than homo agens" [Mises, 2005]. In order to solve problems and achieve goals, these "homo agens" or, more precisely, market agents, under the influence of constantly changing life and business circumstances, are forced almost continuously to make new important decisions related to the purchase and sale of goods and services, production, marketing, logistics, perso