Statistical causality and orthogonality of local martingales

Dragana Valjarević and Ljiljana Petrović

Statistics & Probability Letters, 2012, vol. 82, issue 7, 1326-1330

Abstract: In this work we consider the concept of statistical causality between filtrations, and in particular a generalization of the causality relationship “G is a cause of J within H”. Then we apply this concept to strongly orthogonal martingales. We show the equivalence between the concepts of causality and orthogonality of local martingales. The orthogonality of martingales is a property which can be associated with the theory of option trading.

Keywords: Filtration; Causality; Local martingales; Orthogonal martingales (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:82:y:2012:i:7:p:1326-1330

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DOI: 10.1016/j.spl.2012.03.036

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