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Continuous-time trading and the emergence of volatility


 
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1. Title Title of document Continuous-time trading and the emergence of volatility
 
2. Creator Author's name, affiliation, country Vladimir Vovk; Royal Holloway, University of London
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) game-theoretic probability; continuous time; strong variation exponent
 
3. Subject Subject classification 60G17; 60G05; 60G44
 
4. Description 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) EPSRC; Cyprus Research Promotion Foundation
 
7. Date (YYYY-MM-DD) 2008-06-17
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1383
 
10. Identifier Digital Object Identifier 10.1214/ECP.v13-1383
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 13
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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