  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 under
small transaction costs and imply that, under minimal assumptions, price
changes occurring at scheduled dates should only be due to unanticipated
information releases.
