Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
979757 | Physica A: Statistical Mechanics and its Applications | 2006 | 6 Pages |
Abstract
This paper discusses the joint unpredictability of asset returns on two markets. It provides a necessary condition for joint unpredictability in term of distance between information sets. We conclude that the joint unpredictability requires a condition very strong and so, in this sense, it represents a “singularity”. The result should give a theoretical support to the empirical evidence in favor of the predictability of the returns.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Fulvia Focker, Umberto Triacca,