Continuous-time trading and emergence of volatility

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

2007-12-10

arxiv.org/abs/0712.1483v2

Electronic Communications in Probability 13, 319 - 324 (2008)

Economy

Quantitative Finance

Trading and Market Microstructure

7 pages; v2: new title and minor corrections

Scientific paper

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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