McCauley, Joseph L.; Bassler, Kevin E.; Gunaratne, Gemunu H. - Volkswirtschaftliche Fakultät, … - 2007
We discuss martingales, detrending data, and the efficient market hypothesis for stochastic processes x(t) with arbitrary diffusion coefficients D(x,t). Beginning with x-independent drift coefficients R(t) we show that Martingale stochastic processes generate uncorrelated, generally...