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. 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 . We furthermore show that right-continuity is an indispensable requirement for any price process that does not admit sure profits. Our results are robust with respect to  transaction costs or model mis-specifications and imply that, under minimal assumptions, price changes occurring at scheduled dates should only be due to unanticipated information releases.
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 , we prove that there are no sure profits via flash strategies if and only if asset prices do not exhibit predictable jumps . This result relies on the general theory of processes and provides the most general formulation of the well-known fact that, in an arbitrage-free financial market, asset prices (including dividends) should not exhibit jumps of a predictable direction or magnitude at predictable times . We furthermore show that any price process is always right-continuous in the absence of sure profits. Our results are robust with respect to small transaction costs or model mis-specifications and imply that, under minimal assumptions, price changes occurring at scheduled dates should only be due to unanticipated information releases.
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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
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
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and only allowing for buy-and-hold positions. We prove that
, we prove that there are no sure profits via flash strategies if and only if
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if and only if there is no possibility of obtaining sure profits via high-frequency limits of buy-and-hold trading strategies
. This result relies on the general theory of processes and provides the most general formulation of the well-known fact that, in an arbitrage-free financial market, asset prices (including dividends) should not exhibit jumps of a predictable direction or magnitude at predictable times
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right-continuity is an indispensable requirement for
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that does not admit
is always right-continuous in the absence of
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small