Student-like models for risky asset and concept of fractal market
In this paper we present alternative to GBM that incorporates the Student-like distribution of the returns. This model gives asset prices as GBM but is driven by some nondecreasing stochastic "activity time" (or "fractal time") process.
Efficient Market Hypothesis (EMH), probability theory
Shchestyuk N. Yu. Student-like models for risky asset and concept of fractal market / Shchestyuk N. // Problems of Decision Making Under Uncertainties : PDMU-2016 XXVII International Conference : dedicated to 70-th anniversary of Professor Oleksandr Nakonechnyi (May 23-27, 2016). - Tbilisi-Batumi, Georgia, 2016. - P. 146-147.