摘要翻译:
给出了连续时间内博弈概率为零的事件的新定义,并用此定义证明了金融市场中的交易导致了通常与随机性相关的性质的出现。本文集中于“定性”的结果,用顺序(或顺序拓扑)而不是用价格过程(假定连续)所取的精确值来说明。
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英文标题:
《Continuous-time trading and emergence of randomness》
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作者:
Vladimir Vovk
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最新提交年份:
2007
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Trading and Market Microstructure 交易与市场微观结构
分类描述:Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构,流动性,交易和拍卖设计,自动化交易,基于代理的建模和做市
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一级分类:Mathematics 数学
二级分类:Probability 概率
分类描述:Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用:例如中心极限定理,大偏差,随机微分方程,统计力学模型,排队论
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英文摘要:
A new definition of events of game-theoretic probability zero in continuous time is proposed and used to prove results suggesting that trading in financial markets results in the emergence of properties usually associated with randomness. This paper concentrates on "qualitative" results, stated in terms of order (or order topology) rather than in terms of the precise values taken by the price processes (assumed continuous).
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PDF链接:
https://arxiv.org/pdf/0712.1275