Continuous-time trading and emergence of volatility. / Vovk, Vladimir.

2007.

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 languageEnglish
Publication statusPublished - 10 Dec 2007
This open access research output is licenced under a Creative Commons Attribution-NonCommercial-NoDerivs 3.0 Unported License.

ID: 934506