Continuous-time trading and emergence of volatility

Research output: Working paper

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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 languageEnglish
Publication statusPublished - 10 Dec 2007


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

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