Continuous-time trading and emergence of randomness

Vladimir Vovk

Papers from arXiv.org

Abstract: A new definition of events of game-theoretic probability zero in continuous time is proposed and used to prove results suggesting that trading in financial markets results in the emergence of properties usually associated with randomness. This paper concentrates on "qualitative" results, stated in terms of order (or order topology) rather than in terms of the precise values taken by the price processes (assumed continuous).

Date: 2007-12, Revised 2007-12
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Citations: View citations in EconPapers (3)

Published in Stochastics 81, 455 - 466 (2009)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0712.1275

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