The present paper characterizes various properties of chaos processes which in particular includes processes where all time variables admit a Wiener chaos expansion of a fixed finite order. The main focus is on the semimartingale property, p-variation and continuity. The general results obtained are finally used to characterize when a moving average is a semimartingale.

Keywords: semimartingales; p-variation; moving averages; chaos processes; absolutely continuity

AMS Subject Classification: 60G48; 60G51; 60G17; 60G15; 60G10