McCauley, Joseph L.; Bassler, Kevin E.; Gunaratne, Gemunu H. - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 1, pp. 202-216
We discuss martingales, detrending data, and the efficient market hypothesis (EMH) for stochastic processes x(t) with … our analysis to include the class of (x,t)-dependent drift coefficients of interest in finance. We explain why martingales …