Continuous-time trading and the emergence of volatility

Vladimir Vovk (Royal Holloway, University of London)

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.

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Pages: 319-324

Publication Date: June 17, 2008

DOI: 10.1214/ECP.v13-1383

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