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 Electronic Communications in Probability > Vol. 13 (2008) > Paper 32 open journal systems 


Continuous-time trading and the emergence of volatility

Vladimir Vovk, Royal Holloway, University of London


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.


Full text: PDF

Pages: 319-324

Published on: June 17, 2008
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Electronic Communications in Probability. ISSN: 1083-589X