Before revision: In an arbitrage-free financial market, asset prices (including dividends) should not exhibit jumps of a predictable magnitude at predictable times. We provide a rigorous formulation of this result in a fully general setting, without imposing any semimartingale restriction and only allowing for buy-and-hold positions.
After revision: We introduce and study the notion of sure profit via flash strategy, consisting of a high-frequency limit of buy-and-hold trading strategies. In a fully general setting, without imposing any semimartingale restriction and only allowing for buy-and-hold positions.