Continuous-time trading and emergence of volatility
This 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.
|Date of creation:||Dec 2007|
|Date of revision:||Dec 2007|
|Publication status:||Published in Electronic Communications in Probability 13, 319 - 324 (2008)|
|Contact details of provider:|| Web page: http://arxiv.org/|
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- Vladimir Vovk, 2007. "Continuous-time trading and emergence of randomness," Papers 0712.1275, arXiv.org, revised Dec 2007.
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