Continuous-time trading and emergence of volatility
Trading and Market Microstructure
2010-11-25 v2 Probability
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.
Keywords
Cite
@article{arxiv.0712.1483,
title = {Continuous-time trading and emergence of volatility},
author = {Vladimir Vovk},
journal= {arXiv preprint arXiv:0712.1483},
year = {2010}
}
Comments
7 pages; v2: new title and minor corrections