Vovk, Vladimir (2007) Continuous-time trading and emergence of volatility.
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This note continues investigation of randomness-type properties emerging inidealized financial markets with continuous price processes. It is shown, without making any probabilistic assumptions, that the strong variationexponent of non-constant price processes has to be 2, as in the case of continuous martingales.
This is a Submitted version This version's date is: 10/12/2007 This item is not peer reviewed
https://repository.royalholloway.ac.uk/items/4cafd725-f532-f334-5d1f-175a3d2d1f7e/4/
Deposited by Research Information System (atira) on 03-Jul-2014 in Royal Holloway Research Online.Last modified on 03-Jul-2014
7 pages; v2: new title and minor corrections