WHEN CAN PRICE BE ARBITRAGED EFFICIENTLY - LIMIT TO VALIDITY OF RANDOM WALK AND MARTINGALE MODELS

[1] Bachelier L., 1900, ANN SCIENTIFIQUES LE, V17, P21, DOI DOI 10.24033/ASENS.476

[2] Bachelier L., 1964, RANDOM CHARACTER STO

[3] Doob J. L., 1953, STOCHASTIC PROCESSES

[4] THE BEHAVIOR OF STOCK-MARKET PRICES [J]. JOURNAL OF BUSINESS, 1965, 38 (01) : 34 - 105

[5] FAMA EF, 1969 M EC SOC NEW YO

[6] COMPUTER EXPERIMENTS WITH FRACTIONAL GAUSSIAN NOISES .1. AVERAGES AND VARIANCES [J]. WATER RESOURCES RESEARCH, 1969, 5 (01) : 228 - &

[7] SOME LONG-RUN PROPERTIES OF GEOPHYSICAL RECORDS [J]. WATER RESOURCES RESEARCH, 1969, 5 (02) : 321 - &

[8] VARIATION OF SOME OTHER SPECULATIVE PRICES [J]. JOURNAL OF BUSINESS, 1967, 40 (04) : 393 - 413

[9] FORECASTS OF FUTURE PRICES, UNBIASED MARKETS, AND MARTINGALE MODELS [J]. JOURNAL OF BUSINESS, 1966, 39 (01) : 242 - 255

[10] THE VARIATION OF CERTAIN SPECULATIVE PRICES [J]. JOURNAL OF BUSINESS, 1963, 36 (04) : 394 - 419

[1] Bachelier L., 1900, ANN SCIENTIFIQUES LE, V17, P21, DOI DOI 10.24033/ASENS.476

[2] Bachelier L., 1964, RANDOM CHARACTER STO

[3] Doob J. L., 1953, STOCHASTIC PROCESSES

[4] THE BEHAVIOR OF STOCK-MARKET PRICES [J]. JOURNAL OF BUSINESS, 1965, 38 (01) : 34 - 105

[5] FAMA EF, 1969 M EC SOC NEW YO

[6] COMPUTER EXPERIMENTS WITH FRACTIONAL GAUSSIAN NOISES .1. AVERAGES AND VARIANCES [J]. WATER RESOURCES RESEARCH, 1969, 5 (01) : 228 - &

[7] SOME LONG-RUN PROPERTIES OF GEOPHYSICAL RECORDS [J]. WATER RESOURCES RESEARCH, 1969, 5 (02) : 321 - &

[8] VARIATION OF SOME OTHER SPECULATIVE PRICES [J]. JOURNAL OF BUSINESS, 1967, 40 (04) : 393 - 413

[9] FORECASTS OF FUTURE PRICES, UNBIASED MARKETS, AND MARTINGALE MODELS [J]. JOURNAL OF BUSINESS, 1966, 39 (01) : 242 - 255

[10] THE VARIATION OF CERTAIN SPECULATIVE PRICES [J]. JOURNAL OF BUSINESS, 1963, 36 (04) : 394 - 419