The martingale-equivalence condition delivered by a non-arbitrage assumption in complete asset markets has implications for ﬁne-time-unit asset price behavior that can be rejected with ﬁnite spans of data. A class of stochastic processes that could model such deviations from martingale-equivalence is proposed.
Maheswaran, S. and Sims, Christopher A., "Empirical Implications of Arbitrage-Free Asset Markets" (1992). Cowles Foundation Discussion Papers. 1251.