| Título: | Continuous-time trading and the emergence of volatility |
| Autores: | Vovk, Vladimir; Royal Holloway, University of London |
| Fecha: | 2008-01-01 |
| Publicador: | Electronic communications in probability |
| Fuente: |
 |
| Tipo: |
Peer-reviewed Article |
| Tema: |
game-theoretic probability; continuous time; strong variation exponent 60G17; 60G05; 60G44 |
| Descripción: | 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. |
| Idioma: | No aplica |
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