Continuous-time trading and emergence of volatility
AbstractThis 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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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 0712.1483.
Date of creation: Dec 2007
Date of revision: Dec 2007
Publication status: Published in Electronic Communications in Probability 13, 319 - 324 (2008)
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Web page: http://arxiv.org/
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.:
- Vladimir Vovk, 2007. "Continuous-time trading and emergence of randomness," Papers 0712.1275, arXiv.org, revised Dec 2007.
- 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.
- Vladimir Vovk, 2009. "Continuous-time trading and the emergence of probability," Papers 0904.4364, arXiv.org, revised Aug 2010.
- Vladimir Vovk, 2010. "Rough paths in idealized financial markets," Papers 1005.0279, arXiv.org, revised May 2011.
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