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New Procedures for Testing Whether Stock Price Processes are Martingales

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  • Kei Takeuchi
  • Akimichi Takemura

    ()

  • Masayuki Kumon

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s10614-010-9206-2
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    Bibliographic Info

    Article provided by Society for Computational Economics in its journal Computational Economics.

    Volume (Year): 37 (2011)
    Issue (Month): 1 (January)
    Pages: 67-88

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    Handle: RePEc:kap:compec:v:37:y:2011:i:1:p:67-88

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    Web page: http://www.springerlink.com/link.asp?id=100248
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    Related research

    Keywords: Betting strategy; Efficient market hypothesis (EMH); Game-theoretic probability; Sequential test;

    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Meredith Beechey & David Gruen & James Vickery, 2000. "The Efficient Market Hypothesis: A Survey," RBA Research Discussion Papers rdp2000-01, Reserve Bank of Australia.
    2. repec:ebl:ecbull:v:7:y:2008:i:6:p:1-12 is not listed on IDEAS
    3. Sergio Da Silva & Raul Matsushita & Ricardo Giglio, 2008. "The relative efficiency of stockmarkets," Economics Bulletin, AccessEcon, vol. 7(6), pages 1-12.
    4. Burton G. Malkiel, 2005. "Reflections on the Efficient Market Hypothesis: 30 Years Later," The Financial Review, Eastern Finance Association, vol. 40(1), pages 1-9, 02.
    5. Granger, Clive & Timmermann, Allan G, 2002. "Efficient Market Hypothesis and Forecasting," CEPR Discussion Papers 3593, C.E.P.R. Discussion Papers.
    6. Masayuki Kumon & Akimichi Takemura & Kei Takeuchi, 2005. "Capital process and optimality properties of a Bayesian Skeptic in coin-tossing games," Papers math/0510662, arXiv.org, revised Sep 2008.
    7. LeRoy, Stephen F, 1989. "Efficient Capital Markets and Martingales," Journal of Economic Literature, American Economic Association, vol. 27(4), pages 1583-1621, December.
    8. Kei Takeuchi & Masayuki Kumon & Akimichi Takemura, 2008. "Multistep Bayesian strategy in coin-tossing games and its application to asset trading games in continuous time," Papers 0802.4311, arXiv.org, revised Mar 2008.
    9. repec:fth:calaec:13-89 is not listed on IDEAS
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