New procedures for testing whether stock price processes are martingales
AbstractWe propose procedures for testing whether stock price processes are martingales based on limit order type betting strategies. We first show that the null hypothesis of martingale property of a stock price process can be tested based on the capital process of a betting strategy. In particular with high frequency Markov type strategies we find that martingale null hypotheses are rejected for many stock price processes.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 0907.3273.
Date of creation: Jul 2009
Date of revision: Feb 2010
Publication status: Published in Computational Economics, vol.37, No.1, 67-88, 2010
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-09-26 (All new papers)
- NEP-ECM-2009-09-26 (Econometrics)
- NEP-ETS-2009-09-26 (Econometric Time Series)
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