@article{ECP1383,
author = {Vladimir Vovk},
title = {Continuous-time trading and the emergence of volatility},
journal = {Electron. Commun. Probab.},
fjournal = {Electronic Communications in Probability},
volume = {13},
year = {2008},
keywords = {game-theoretic probability; continuous time; strong variation exponent},
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.},
pages = {no. 32, 319-324},
issn = {1083-589X},
doi = {10.1214/ECP.v13-1383},
url = {http://ecp.ejpecp.org/article/view/1383}}