New procedures for testing whether stock price processes are martingales

Kei Takeuchi, Akimichi Takemura and Masayuki Kumon

Papers from arXiv.org

Abstract: We propose procedures for testing whether stock price processes are martingales based on limit order type betting strategies. We first show that the null hypothesis of martingale property of a stock price process can be tested based on the capital process of a betting strategy. In particular with high frequency Markov type strategies we find that martingale null hypotheses are rejected for many stock price processes.

Date: 2009-07, Revised 2010-02
New Economics Papers: this item is included in nep-ecm and nep-ets
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Published in Computational Economics, vol.37, No.1, 67-88, 2010

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0907.3273

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