McCauley, Joseph L.; Bassler, Kevin E.; Gunaratne, Gemunu H. - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 15, pp. 3916-3920
We discuss the deep connection between nonstationary increments, martingales, and the efficient market hypothesis for stochastic processes x(t) with arbitrary diffusion coefficients D(x,t). We explain why a test for a martingale is generally a test for uncorrelated increments. We explain why...