Translator Disclaimer
2008 Continuous-time trading and the emergence of volatility
Vladimir Vovk
Author Affiliations +
Electron. Commun. Probab. 13: 319-324 (2008). DOI: 10.1214/ECP.v13-1383

Abstract

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.

Citation

Download Citation

Vladimir Vovk. "Continuous-time trading and the emergence of volatility." Electron. Commun. Probab. 13 319 - 324, 2008. https://doi.org/10.1214/ECP.v13-1383

Information

Accepted: 17 June 2008; Published: 2008
First available in Project Euclid: 6 June 2016

zbMATH: 1189.60081
MathSciNet: MR2415140
Digital Object Identifier: 10.1214/ECP.v13-1383

Subjects:
Primary: 60G17
Secondary: 60G05, 60G44

JOURNAL ARTICLE
6 PAGES


SHARE
Back to Top