Article ID Journal Published Year Pages File Type
5069879 Finance Research Letters 2012 5 Pages PDF
Abstract
► We point out the discrete time models exclude local martingales and singular processes. ► We show that these objects characterize important economic phenomena. ► The economic phenomena are: bubbles and large trader behavior. ► We argue that continuous trading is a better approximation to trading in actual security markets.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory
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