Continuous-time trading and emergence of randomness, II
نویسنده
چکیده
This paper continues investigation of randomness-type properties emerging in idealized financial markets with continuous price processes. It is shown that the strong variation exponent of non-constant price processes has to be 2, as in the case of Brownian motion.
منابع مشابه
Continuous-time trading and emergence of randomness
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...
متن کاملContinuous-time trading and the emergence of randomness
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 a price pro...
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