Testing the Continuous Semimartingale Hypothesis for the S&P 500
利用标普500股指期货的高频日内数据，检验对数收益率（经漂移调整后）是否为连续鞅，即是否可表示为时间变换的布朗运动，结果无法拒绝该假设。
Abstract: Large amounts of intraday data of the S&P 500 stock index futures are used to test the hypothesis that the log-return process, corrected for drift, is a continuous martingale. We use the time change for martingales theorem to rephrase the hypothesis and test whether the return process, corrected for drift, is a time-changed Brownian motion. This hypothesis cannot be rejected. Keywords: CONTINUOUS SEMIMARTINGALES; FINANCIAL TIME; S AND P 500 STOCK INDEX FUTURE; TIME-CHANGED BROWNIAN MOTION