Continuous-time trading and the emergence of volatility
نویسندگان
چکیده
منابع مشابه
Continuous-time trading and emergence of volatility
This note continues investigation of randomness-type properties emerging in idealized financial markets with continuous price processes. It is shown, without making any probabilistic assumptions, that the strong variation exponent of non-constant price processes has to be 2, as in the case of continuous martingales.
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A new definition of events of game-theoretic probability zero in continuous time is proposed and used to prove results suggesting that trading in financial markets results in the emergence of properties usually associated with randomness. This paper concentrates on “qualitative” results, stated in terms of order (or order topology) rather than in terms of the precise values taken by the price p...
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ژورنال
عنوان ژورنال: Electronic Communications in Probability
سال: 2008
ISSN: 1083-589X
DOI: 10.1214/ecp.v13-1383