New Procedures for Testing Whether Stock Price Processes are Martingales

Kei Takeuchi, Akimichi Takemura () and Masayuki Kumon ()

Computational Economics, 2011, vol. 37, issue 1, 67-88

Keywords: Betting strategy; Efficient market hypothesis (EMH); Game-theoretic probability; Sequential test (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s10614-010-9206-2

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