I wander whether there is a theory that explains the stock exchange behavior (or a single stock) by assuming some transitions between (maybe almost) well defined states. If, I will appreciate a short explanation of the theory or a reference to it. Thanks!

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    It's not clear what you are asking for. My guess from the OP is you may be attempting to model the operations of a stock market or brokerage for an enterprise software design? – user662852 Jan 7 at 20:39

Your question asks about the behavior of a stock exchange as a whole and the behavior of a single stock. You need to clarify what you're looking for.

There's the Efficient Market Hypothesis which is about the market as a whole. Personally I think it's garbage. Here it is in some detail: https://www.investopedia.com/terms/e/efficientmarkethypothesis.asp

There's Modern Portfolio Theory, which is the cornerstone of 95% of the investment industry. It breaks down a bit in times of extreme volatility and increased correlation between markets. More details here: https://www.investopedia.com/managing-wealth/modern-portfolio-theory-why-its-still-hip/

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