Continuous-time trading and emergence of volatility

Vladimir Vovk

Continuous-time trading and emergence of volatility

Research output: Working paper

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Abstract

This note continues investigation of randomness-type properties emerging inidealized financial markets with continuous price processes. It is shown, without making any probabilistic assumptions, that the strong variationexponent of non-constant price processes has to be 2, as in the case of continuous martingales.

Original language	English
Publication status	Published - 10 Dec 2007

Keywords

q-fin.TR
math.PR
60G17, 60G05, 60G44

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abstract = "This note continues investigation of randomness-type properties emerging inidealized financial markets with continuous price processes. It is shown, without making any probabilistic assumptions, that the strong variationexponent of non-constant price processes has to be 2, as in the case of continuous martingales.",

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