Continuous-time trading and the emergence of volatility

被引：12
|
作者：
Vovk, Vladimir [1 ]
机构：
[1] Univ London, Dept Comp Sci, Egham TW20 0EX, Surrey, England
来源：
ELECTRONIC COMMUNICATIONS IN PROBABILITY | 2008年 / 13卷
关键词：
game-theoretic probability; continuous time; strong variation exponent;
D O I：
10.1214/ECP.v13-1383
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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.
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页码：319 / 324
页数：6
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