On the stickiness property

DOI10.1080/14697680903341806zbMATH Open1205.91178arXiv0801.0718OpenAlexW2084806632MaRDI QIDQ3064012FDOQ3064012

Authors: Erhan Bayraktar, Hasanjan Sayit 

Publication date: 20 December 2010

Published in: Quantitative Finance (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/0801.0718

Recommendations

• Arbitrage-free models in markets with transaction costs
• Sticky Continuous Processes have Consistent Price Systems
• Sticky processes, local and true martingales
• Some explicit results on one kind of sticky diffusion
• No arbitrage without semimartingales

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80)

Cites Work

• Arbitrage with Fractional Brownian Motion
• Consistent price systems and face-lifting pricing under transaction costs
• NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
• Brownian moving averages have conditional full support
• No arbitrage without semimartingales
• No arbitrage conditions for simple trading strategies
• ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC

Cited In (6)

• Open mushrooms: stickiness revisited
• Sticky processes, local and true martingales
• Sticky Continuous Processes have Consistent Price Systems
• Arbitrage-free models in markets with transaction costs
• Rigidity for sticky discs
• Consistent price systems in multiasset markets

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