Market-Based Asset Price Probability

The random values and volumes of consecutive trades made at the exchange with shares of security determine its mean, variance, and higher statistical moments. The volume weighted average price (VWAP) is the simplest example of such a dependence. We derive the dependence of the market-based variance and 3rd statistical moment of prices on the means, variances, covariances, and 3rd moments of the values and volumes of market trades. The usual frequency-based assessments of statistical moments of p...