King Wang

TL;DR: In this article, the authors measured market efficiency by arbitrage proximity and calibrated the level of efficiency by extent of a distortion of probability required to neutralize the drift of the drift.

TL;DR: In this paper, non-diffusive models allow for this and they model the market cliches that markets take escalators up and elevators down, which suggests differentiating models for up and down moves.

TL;DR: The bilateral gamma model for returns is naturally derived from the lognormal model, and Maximizing entropy in a random time change delivers the symmetric variance gamma model.

TL;DR: The Sato process is a parametric special case of the general additive process, which overprices negative moves and underprices positive ones, and the overpricing of negative moves decreases with maturity, while for positive moves the underpricing is larger for larger moves.

TL;DR: The bilateral gamma model for returns is naturally derived from the lognormal model as mentioned in this paper, and the bilateral double gamma model is itself taken to be gamma distributed on entropy maximization.