Limitations of efficiency and of martingale models

Benoit B. Mandelbrot
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Benoit B. Mandelbrot: Yale University, Mathematics Department

Chapter E20 in Fractals and Scaling in Finance, 1997, pp 492-512 from Springer

Abstract: Abstract In the moving away process $$C(t) = \sum\limits_{s = - \infty }^t {L(t - s)N(s)} $$ , the quantities N(s), called “innovations,” are random variables with finite variance and are orthogonal (uncorrelated) but are not necessarily Gaussian. Knowing the value of C(s) for s

Keywords: Spectral Density; Price Change; Infinite Horizon; Finite Variance; Price Series (search for similar items in EconPapers)
Date: 1997
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DOI: 10.1007/978-1-4757-2763-0_20

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