New procedures for testing whether stock price processes are martingales
We 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.
|Date of creation:||Jul 2009|
|Date of revision:||Feb 2010|
|Publication status:||Published in Computational Economics, vol.37, No.1, 67-88, 2010|
|Contact details of provider:|| Web page: http://arxiv.org/|
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- repec:cdl:ucsbec:13-89 is not listed on IDEAS
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