New procedures for testing whether stock price processes are martingales
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References listed on IDEAS
- repec:fth:calaec:13-89 is not listed on IDEAS
- LeRoy, Stephen F, 1989. "Efficient Capital Markets and Martingales," Journal of Economic Literature, American Economic Association, vol. 27(4), pages 1583-1621, December.
- Masayuki Kumon & Akimichi Takemura & Kei Takeuchi, 2005. "Capital process and optimality properties of a Bayesian Skeptic in coin-tossing games," Papers math/0510662, arXiv.org, revised Sep 2008.
- repec:cdl:ucsbec:13-89 is not listed on IDEAS
- 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.
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- Masayuki Kumon & Jing Li & Akimichi Takemura & Kei Takeuchi, 2012. "Bayesian logistic betting strategy against probability forecasting," Papers 1204.3496, arXiv.org.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2009-09-26 (Econometrics)
- NEP-ETS-2009-09-26 (Econometric Time Series)
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