Continuous-time trading and the emergence of volatility

DOI10.1214/ECP.v13-1383zbMath1189.60081arXiv0712.1483MaRDI QIDQ1038887

Vladimir Vovk

Publication date: 20 November 2009

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0712.1483

zbMATH Keywords

continuous timegame-theoretic probabilitystrong variation exponent

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Martingales with continuous parameter (60G44) Sample path properties (60G17)

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