New procedures for testing whether stock price processes are martingales
Download full text from publisher
References 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.
- repec:cdl:ucsbec:13-89 is not listed on IDEAS
- 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.
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Masayuki Kumon & Jing Li & Akimichi Takemura & Kei Takeuchi, 2012. "Bayesian logistic betting strategy against probability forecasting," Papers 1204.3496, arXiv.org.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-09-26 (All new papers)
- NEP-ECM-2009-09-26 (Econometrics)
- NEP-ETS-2009-09-26 (Econometric Time Series)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:0907.3273. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators). General contact details of provider: http://arxiv.org/ .