Testing the Continuous Semimartingale Hypothesis for the S&P 500
检验标普500的连续半鞅假设
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.