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Falsifying Generalized Wiener Processes

The Black-Scholes-Merton model is a central tool for pricing

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Falsifying Generalized Wiener Processes

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    1. Falsifying Generalized Wiener Processes Melvin J. Hinich

    2. Black-Scholes Model

    3. Generalized Wiener process (GWP)

    4. Bandlimited Filter

    6. The Trispectrum

    8. Trispectrum Based Tests of Linearity & Time Reversibility

    9. Estimating the Trispectrum

    10. Testing Linearity of a GWP

    11. Testing Time Reversibility of a GWP

    12. Statistics of the 4 NYSE Returns

    22. Nonlinearity Test for NYSE Returns 73 Trifreqs

    24. Time Reversibility Test Results

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