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New Procedures for Testing Whether Stock Price Processes are Martingales


  • Kei Takeuchi
  • Akimichi Takemura


  • Masayuki Kumon



No abstract is available for this item.

Suggested Citation

  • Kei Takeuchi & Akimichi Takemura & Masayuki Kumon, 2011. "New Procedures for Testing Whether Stock Price Processes are Martingales," Computational Economics, Springer;Society for Computational Economics, vol. 37(1), pages 67-88, January.
  • Handle: RePEc:kap:compec:v:37:y:2011:i:1:p:67-88 DOI: 10.1007/s10614-010-9206-2

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    References listed on IDEAS

    1. Masayuki Kumon & Akimichi Takemura & Kei Takeuchi, 2005. "Capital process and optimality properties of a Bayesian Skeptic in coin-tossing games," Papers math/0510662,, revised Sep 2008.
    2. Meredith Beechey & David Gruen & James Vickery, 2000. "The Efficient Market Hypothesis: A Survey," RBA Research Discussion Papers rdp2000-01, Reserve Bank of Australia.
    3. 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, February.
    4. repec:cdl:ucsbec:13-89 is not listed on IDEAS
    5. Timmermann, Allan & Granger, Clive W. J., 2004. "Efficient market hypothesis and forecasting," International Journal of Forecasting, Elsevier, vol. 20(1), pages 15-27.
    6. 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,, revised Mar 2008.
    7. repec:ebl:ecbull:v:7:y:2008:i:6:p:1-12 is not listed on IDEAS
    8. LeRoy, Stephen F, 1989. "Efficient Capital Markets and Martingales," Journal of Economic Literature, American Economic Association, vol. 27(4), pages 1583-1621, December.
    9. Sergio Da Silva & Raul Matsushita & Ricardo Giglio, 2008. "The relative efficiency of stockmarkets," Economics Bulletin, AccessEcon, vol. 7(6), pages 1-12.
    Full references (including those not matched with items on IDEAS)


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