Continuous-time trading and emergence of volatility

Vovk, Vladimir

(2007)

Vovk, Vladimir (2007) Continuous-time trading and emergence of volatility.

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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.

Information about this Version

This is a Submitted version
This version's date is: 10/12/2007
This item is not peer reviewed

Link to this Version

https://repository.royalholloway.ac.uk/items/4cafd725-f532-f334-5d1f-175a3d2d1f7e/6/

Item TypeMonograph (Working Paper)
TitleContinuous-time trading and emergence of volatility
AuthorsVovk, Vladimir
Uncontrolled Keywordsq-fin.TR, math.PR, 60G17, 60G05, 60G44
DepartmentsFaculty of Science\Computer Science

Identifiers

Deposited by Research Information System (atira) on 22-Jul-2014 in Royal Holloway Research Online.Last modified on 22-Jul-2014

Notes

7 pages; v2: new title and minor corrections

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