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.

MoreLess

Year of publication:	2007-12
Authors:	Vovk, Vladimir
Institutions:	arXiv.org

More details

Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Notes:	Published in Electronic Communications in Probability 13, 319 - 324 (2008)
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005084207