Монография демонстрирует важность и значение бирж как экспериментальных экономических лабораторий, направленных, в первую очередь, на проверку моделей, оценку параметров моделей и, в конечном итоге, на верификацию существующих и новых экономических теорий. Если для построения вероятностной экономической теории в качестве «эмпирической» лаборатории в определенной степени служил бизнес, практический 25-летний опыт управления которым формализован с помощью математического аппарата теоретической физики, то в данной работе для разработки вероятностной теории фондовых бирж в качестве экспериментальных экономических лабораторий использованы МБ и ICE. В монографии шаг за шагом раскрываются огромные перспективы дальнейшего использования бирж в качестве мощных современных экспериментальных экономических лабораторий, которые позволяют утверждать, что как примерно 300-500 лет назад из науки о Солнечной системе возникла теоретическая физика, так и в ближайшем будущем из развития теории биржи, опирающегося на эксперименты на биржах, возникнет современная экономическая наука, состоящая из тесно взаимодействующих теоретической экономики и экспериментальной экономики, которая будет соответствовать всем общепринятым стандартам естественных наук, оставаясь при этом гуманитарной и социальной наукой.
БлагодарностиСодержание книги представляет собой изложение результатов проекта «Квантовые Финансовые Инвестиции инвестиционной компании «ЭКСЕЛЛЕНС» в Новосибирске. Участники проекта Виталий Мартынович и Мария Макаркина внесли большой вклад в успех проекта. Так, компьютерная платформа QUANTUM FINANCE для выполнения расчетов биржевых структур методами вероятностной теории разработана, главным образом, Виталием Мартыновичем и Марией Макаркиной и реализована ими же на языке C#. Мария Макаркина также оказывала существенную помощь в подготовке данной монографии к печати. Автор искренне благодарит их за плодотворное многолетнее сотрудничество.
Автор считает своим долгом ответить признательностью Дмитрию Ивановичу Свириденко, взявшему на себя обязанность выполнить важную работу ответственного редактора монографии, и рецензентам монографии Сергею Ивановичу Паринову и Юрию Николаевичу Перевышину за проделанную на высоком профессиональном уровне непростую работу по рецензированию рукописи с изложением новой теории.
Автор благодарен Фонду Александра фон Гумбольдта (Alexander von Humboldt Stiftung), предоставившему стипендию, которая позволила много лет назад воочию увидеть впервые в Западной Германии, как работают развитые рыночные экономики и функционируют в них финансовые рынки.
Автор признателен Московской Бирже и Intercontinental Exchange Futures Europe, открывшему нам доступ к историческим данным и к онлайн-котировкам.
Автор выражает признательность также инвестиционным компаниям FINAM и Interactive Brokers за прекрасно осуществляемые для нас функции брокера посредника с биржами МБ и ICE соответственно.
Автор искренне благодарит первого читателя рукописи книги Константина Павловича Глущенко за критические комментарии, учет которых сделал более понятным материал книги для читателей, придерживающихся принципиально иных ортодоксальных экономических взглядов.
В заключение автор, пользуясь случаем, к сожалению, с большим опозданием, хотел бы отдать несколько своих старых долгов. Во-первых, выразить благодарность Владимиру Рубеновичу Евстигнееву за неформальную, но весьма содержательную и полезную рецензию своей первой статьи на тему вероятностной экономической теории в сборнике работ РАНХ и ГС [Кондратенко, 2005] и Кондратенко Ксении за помощь в подготовке рукописи данной статьи. Во-вторых, автор отмечает важную роль, которую сыграл в данном исследовании профессор Калифорнийского университета (Беркли) George Judge, одобрив и поддержав с энтузиазмом ту самую первую работу 15 лет назад, за что автор безмерно благодарен ему.
Ответственный редактор:
Доктор физико-математических наук, профессор Д.И. Свириденко
Рецензенты:
Доктор технических наук С.И. Паринов
Кандидат экономических наук Ю.Н. Перевышин
© Анатолий Васильевич Кондратенко, 2021, Россия, Новосибирск, сентябрь 2021
Все права защищены. Никакая часть книги или вся книга не могут быть воспроизведены или переданы в любой форме или любыми способами без письменного разрешения автора.
Preface
This monograph is the third book in the series [Kondratenko, 2005, 2015, 2021] that develops probabilistic economic theory. When the first book was being prepared for publication sixteen years ago, I was asked when I thought this theory would gain wide acceptance from economists. My answer was: «No sooner than twenty years from now». To simply offer an alternative economic theory was not enough; I needed to show how it was better, and to prove that it is correct and capable of making reliable forecasts of economic development.
This monograph demonstrates the theorys validity, and precisely the way in which it is better than other theories. Its effectiveness is shown when applied to important, organized markets such as stock exchanges. Based on the obtained results, a method is proposed for forecasting economic dynamics. Below, I will explain why stock exchanges were chosen as the objects of research.
It is well known that the division of labor by the various producers of goods improved the well-being of humankind during the early stages of civilization. This led to the subsequent formation and development of capitalism across the world. Initially, this process was dominated by ordinary markets, which facilitated and thereby accelerated the process of goods and services exchange between people. Eventually, this evolved to occur between organized markets, the more complex of which we have today such as the commodity, financial, and currency markets, amongst others. Together, their existence forms the exchange economy.
Currently, this exchange economy has, and effectively uses, all the most modern means of e-commerce, including artificial intelligence and algorithmic computer trading. Fueled by the widespread use of the Internet, the exchange economy is lightning fast, virtual and truly global. It is the high speed of information exchange and number of transactions that distinguishes the new virtual exchange economy from the traditional real economy. However, this feature of exchange trading can generate additional risks, both for the exchange economy and for the real economy. To date, these risks are only superficially understood in the economic academic community.
In todays global economic world, the role of exchanges has become so significant that it is no exaggeration to say that the entire global economy is increasingly evolving towards an exchange economy. It would be more appropriately referred to as the transformation of the global economy into a financial economy, but in this monograph we will focus only on the role of exchanges in the economy. Therefore, we will use the term «exchange economy».
In todays economy, the main purpose of exchanges is to determine prices for all tradable assets, including various types of money (currencies). Exchanges also facilitate trading and finance global economic activity. However, it is important to note that the state of affairs of all exchanges are good indicators of the entire global economic situation. The paradox of this status in the global exchange world is that there is clearly no adequate status in the world of theoretical finance. An adequate theory of organized financial markets still does not exist, which means there is no adequate theory representing the global real economy. This situation generates certain risks of the emergence and uncontrolled development of negative trends in the financial markets. This can lead to large-scale financial and, in turn, global economic crises, which we regularly observe in real life.
The generator of almost all economic crises in modern history are financial crises, the trigger of which are exchange crashes. Currently, the situation is exacerbated and the risks are increasing. This is because the bulk of transactions are now made by computers. Working strictly according to algorithms aimed mainly at achieving quick results, they guarantee the absence of even minimal losses. They act almost synchronously, which can cause a chain reaction of collapse on the exchanges in isolation from the real state of affairs in the economy, and from the real value of assets. Meanwhile, regulators have no meaningful or reliable tools to monitor or manage any particularly volatile situations in the financial markets.
This is particularly valid in organized markets or exchanges where the prices of all global goods and assets are largely measured. All these management processes are currently reliant on tools using the analysis of accumulated historical experience and the use of empirical parametric models [Intriligator, 1971]. Therefore, overcoming the obvious stagnation in the development of theoretical finance is a long-overdue global task. The main challenge now is to overcome the near complete absence of a mathematical apparatus with which to describe the functioning of the exchange as an asset-pricing mechanism. Financial econometrics can do this qualitatively, but also required is the ability to calculate the temporal fine structure of the price and trade volume dynamics within short time intervals, such as during a single trading session.
Using a parallel with the physics theory of scattering, we can look at this differently. Econometrics focuses on solving the so-called «inverse problem», namely, the problem of extracting information from experimental data about the system under study. Conversely, we aim to solve a direct problem: the creation of a near-universal method of calculation from the first principles (ab initio) of the temporal exchange microstructures. These, with a characteristic time size of several temporal seconds, can be directly compared with the corresponding experimental fine structures of trading dynamics. This method could serve as a powerful tool for building a quantitative theory of exchanges.
We hope that in future, the probabilistic theory of exchanges developed in this study can serve as a basis for building a more general probabilistic financial theory. In doing so, a deeper understanding will be gained of how our global world of finance works.
It is obvious that organized markets are complex, multi-agent, non-equilibrium probabilistic systems, the description of which requires the application of adequate mathematical methods and apparatuses. The only suitable source of such methods and apparatuses is physics, where the experience of theoretical work with multiparticle systems with similar, formal structures has long been accumulated. In addition, quite a lot of experience has already been gathered in the application of the physical method in economics, namely, the use of formal methods and approaches of theoretical physics in solving economic problems.
In particular, probabilistic economic theory was developed [Kondratenko, 2005, 2015], a new theory of market economy. Initially, this theory was modeled on quantum mechanics with the derivation of economic equations of motion. Unfortunately, we are not yet able to accurately solve these equations for multi-agent markets. Because of this, a simpler version of the theory was later developed. It uses only the probabilistic method without solving equations of motion, namely, probability economics. It is used in this work as a basic theory for constructing probabilistic theory of exchanges. Although it contains no equations of motion, there is a mathematical apparatus that has proven very adequate and fruitful for describing exchange processes and structures.
To clarify, probability economics contains neither physics nor mechanics and, in particular, no quantum mechanics. This is an economic theory used to describe economic processes taking place on exchanges. This theory uses a mathematical apparatus which was created hundreds of years ago, and was previously used successfully to solve similar problems in physics. Probability economics has been developed in the spirit of both classical economic theory, and the physical method in economics. This variant has followed a figuratively similar evolutionary trajectory to the theories of Adam Smith to Karl Menger and onwards to Ludwig von Mises.