3
votes
3answers
105 views

Martingale Stock Prices

In http://www.principlesofforecasting.com/files/pdf/Granger-stockmarket.pdf Granger makes survey of some arguments. In section I there are two hypothesis H01, and H02. H01: Stock prices are a ...
2
votes
1answer
137 views

Assumptions based on non-martingale?

Quantitative finance formular are mostly based on martingales, Poisson jump, GBM, CEV, etc.. The logic behind it is that martingale means the future could not be predicted, or, EMH (Efficient-market ...
9
votes
4answers
4k views

What is a martingale?

What is a martingale and how it compares with a random walk in the context of the Efficient Market Hypothesis?