摘要翻译：
我们提出了基于限价指令类型投注策略的股票价格过程是否为鞅的检验程序。我们首先证明了股票价格过程鞅性质的零假设可以基于一个投注策略的资金过程来检验。特别是在高频马尔可夫型策略下，我们发现许多股票价格过程的鞅零假设是被拒绝的。
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英文标题：
《New procedures for testing whether stock price processes are martingales》
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作者：
Kei Takeuchi and Akimichi Takemura and Masayuki Kumon
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
  We propose procedures for testing whether stock price processes are martingales based on limit order type betting strategies. We first show that the null hypothesis of martingale property of a stock price process can be tested based on the capital process of a betting strategy. In particular with high frequency Markov type strategies we find that martingale null hypotheses are rejected for many stock price processes.
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PDF链接：
https://arxiv.org/pdf/0907.3273