Continuous-time trading and emergence of randomness

Details Continuous-time trading and emergence of randomness Continuous-time trading and emergence of randomness

2007-12-08

arxiv.org/abs/0712.1275v2

Stochastics 81, 455 - 466 (2009)

Economy

Quantitative Finance

Trading and Market Microstructure

14 pages; this version: new references and minor corrections

Scientific paper

10.1080/17442500802221712

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).

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