Continuous-time trading and emergence of randomness
Trading and Market Microstructure
2010-11-25 v2 Probability
Abstract
A new definition of events of game-theoretic probability zero in continuous time is proposed and used to prove results suggesting that trading in financial markets results in the emergence of properties usually associated with randomness. This paper concentrates on "qualitative" results, stated in terms of order (or order topology) rather than in terms of the precise values taken by the price processes (assumed continuous).
Keywords
Cite
@article{arxiv.0712.1275,
title = {Continuous-time trading and emergence of randomness},
author = {Vladimir Vovk},
journal= {arXiv preprint arXiv:0712.1275},
year = {2010}
}
Comments
14 pages; this version: new references and minor corrections