Continuous-time trading and emergence of volatility

Vladimir Vovk

Papers from arXiv.org

Abstract: 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.

Date: 2007-12, Revised 2007-12
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Published in Electronic Communications in Probability 13, 319 - 324 (2008)

Downloads: (external link)
http://arxiv.org/pdf/0712.1483 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0712.1483

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().