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- What is a martingale? - Quantitative Finance Stack Exchange
What is a martingale and how it compares with a random walk in the context of the Efficient Market Hypothesis?
- black scholes - Why is $C (t,S_t) B_t$ a martingale? - Quantitative . . .
@pbr142 As for buzzwords, does "risk-neutral measure" usually mean the measure such that asset prices discounted by a risk-free asset is a martingale? In contrast to, say a "martingale measure", which would measure asset prices discounted by a not-necessarily risk-free asset as martingales?
- Strictly local martingales: what is the intuition behind them?
A strict local martingale is a local martingale which is not a true martigale In fact, a positive strict local martingale is a supermartingale -- i e the expectation decreases with horizon In quant finance strictly local martingales have appeared as models which exhibit volatility induced stationarity or models that describe financial bubbles
- reverse martingale (Anti Martingale) EA - Forex Factory
Share ideas, debate tactics, and swap war stories with forex traders from around the world
- Strom Martingale EA + source code - Forex Factory
Share ideas, debate tactics, and swap war stories with forex traders from around the world
- Martingale + Grid - New - Forex Factory
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- Efficient market hypothesis and martingales - Quantitative Finance . . .
Even the discounted stock price shouldn't be a martingale, because, again, that would imply that the risk premium is 0 and again the riskless asset would be a better choice However, the discounted stock price under risk-neutral dynamics is a martingale if the market is arbitrage-free
- Is the stock price process a martingale or a Markov process?
28 Some people claim that the data-generating process for stocks is a "martingale" and that is has the "Markov property" Are they unrelated? Is it that the Markov property implies some sort of martingale property, or is it the other way around? How do you statistically test for such properties? How far from reality is it to assume such properties?
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