Cover Image

New procedures for testing whether stock price processes are martingales

We propose procedures for testing whether stock price processes are martingales based on limit order type betting strategies. We first show that the null hypothesis of martingale property of a stock price process can be tested based on the capital process of a betting strategy. In particular with high frequency Markov type strategies we find that martingale null hypotheses are rejected for many stock price processes.
Year of publication:
2009-07
Authors: Takeuchi, Kei ; Takemura, Akimichi ; Kumon, Masayuki
Institutions: arXiv.org
freely available
Full text |
Check Google Scholar
In German libraries (KVK)
I need help
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Language: English
Notes:
Published in Computational Economics, vol.37, No.1, 67-88, 2010
Source:
Persistent link: https://www.econbiz.de/10005083484
Similar items by person