Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1152108 | Statistics & Probability Letters | 2012 | 5 Pages |
Abstract
In this work we consider the concept of statistical causality between filtrations, and in particular a generalization of the causality relationship “G is a cause of J within H”. Then we apply this concept to strongly orthogonal martingales. We show the equivalence between the concepts of causality and orthogonality of local martingales. The orthogonality of martingales is a property which can be associated with the theory of option trading.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Dragana Valjarević, Ljiljana Petrović,