DISCRETE-WAVE ASSET PRICING HYPOTHESIS: EMPIRICAL TEST ON THE RUSSIAN STOCK MARKET
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Author(s): | Andrianov B. G., L. K. Vasyukova, |
| Number of journal: | 3(76) | Date: | September 2026 |
| Annotation: | This paper empirically evaluates the discrete-wave asset pricing hypothesis, which posits that financial asset prices evolve through a sequence of stable equilibrium states separated by discrete regime shifts rather than as a continuous stochastic process. Using data for 74 Russian stocks over the period from 2013 to 2025, and applying methods for identifying jumps, the Jarque-Bera and Ljung-Box tests, as well as a Markov switching model, empirical evidence was obtained that contradicts the simple continuous random walk model and is consistent with a regime‑discrete interpretation of price dynamics. An event study of 20 major news shocks further reveals abnormal return accumulation before public announcements in 11 cases, indicating that transitions between equilibrium regimes are often gradual. We then evaluate the economic implications of the hypothesis through an out-of-sample test of a reflexive equation and a dynamic position-reduction strategy derived from it. Neither approach produces statistically significant improvements in the Sharpe ratio, return volatility, or maximum drawdown relative to a passive buy-and-hold benchmark. When aggregating data to weekly and monthly levels, the method of inheriting daily jumps does not allow us to reject the hypothesis of independence within periods, while a robust jump detector continues to identify heavy tails and distributional asymmetry on higher timeframes. The combined results are consistent with the discrete‑wave nature of price as a structural property of the market, but they do not reveal its predictive value for tactical portfolio management over the examined horizon, which justifies the conceptual distinction between trading – working with discrete price movements – and investing – using smoothed dynamics over longer intervals with elements. | ||
| Keywords: | discrete-wave pricing theory, asset pricing, Russian stock market, price jumps, volatility clustering, Markov switching model, efficient market hypothesis, event study, abnormal return, Jarque-Bera test, time series, volatility regimes |
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| For citation: | Andrianov B. G., Vasyukova L. K. Discrete-wave asset pricing hypothesis: empirical test on the Russian stock market. Biznes. Obrazovanie. Pravo = Business. Education. Law. 2026;3(76):46—60. DOI: 10.25683/VOLBI.2026.76.1735. |
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