Continuous-time trading and emergence of volatility
Continuous-time trading and emergence of volatility
复制标题
连续时间交易和波动性的出现
DOI：
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发表时间：
2007
期刊：
影响因子：
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通讯作者：
V. Vovk
中科院分区：
文献类型：
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作者：
V. Vovk
本文继续研究在具有连续价格过程的理想化金融市场中出现的随机性属性。在不作任何概率假设的情况下，证明了非常数价格过程的强变差指数必为2，就像连续值情形一样。
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.