New procedures for testing whether stock price processes are martingales
Statistical Finance
2011-02-16 v2
Abstract
We propose procedures for testing whether stock price processes are martingales based on limit order type betting strategies. We first show that the null hypothesis of martingale property of a stock price process can be tested based on the capital process of a betting strategy. In particular with high frequency Markov type strategies we find that martingale null hypotheses are rejected for many stock price processes.
Keywords
Cite
@article{arxiv.0907.3273,
title = {New procedures for testing whether stock price processes are martingales},
author = {Kei Takeuchi and Akimichi Takemura and Masayuki Kumon},
journal= {arXiv preprint arXiv:0907.3273},
year = {2011}
}