Before revision:  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. We prove that asset prices do not exhibit predictable jumps if and only if there is no possibility of obtaining sure profits via high-frequency limits of buy-and-hold trading strategies .
After revision:  We provide a rigorous formulation of this result in a fully general setting, without imposing any semimartingale restriction , we prove that there are no sure profits via flash strategies if and only if asset prices do not exhibit predictable jumps if and only if there is no possibility of obtaining sure profits via high-frequency limits of buy-and-hold trading strategies .