On the Stickiness Property

Erhan Bayraktar and Hasanjan Sayit

Papers from arXiv.org

Abstract: In [2] the notion of stickiness for stochastic processes was introduced. It was also shown that stickiness implies absense of arbitrage in a market with proportional transaction costs. In this paper, we investigate the notion of stickiness further. In particular, we give examples of processes that are not semimartingales but are sticky.

Date: 2008-01, Revised 2009-09
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Citations: View citations in EconPapers (5)

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Journal Article: On the stickiness property (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0801.0718

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