Statistical causality and orthogonality of local martingales
In this work we consider the concept of statistical causality between filtrations, and in particular a generalization of the causality relationship “G is a cause of J within H”. Then we apply this concept to strongly orthogonal martingales. We show the equivalence between the concepts of causality and orthogonality of local martingales. The orthogonality of martingales is a property which can be associated with the theory of option trading.
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Volume (Year): 82 (2012)
Issue (Month): 7 ()
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- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
- Medvegyev, Peter, 2007. "Stochastic Integration Theory," OUP Catalogue, Oxford University Press, number 9780199215256, March.
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