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On the stickiness property

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  • Erhan Bayraktar
  • Hasanjan Sayit

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.
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Suggested Citation

  • Erhan Bayraktar & Hasanjan Sayit, 2010. "On the stickiness property," Quantitative Finance, Taylor & Francis Journals, vol. 10(10), pages 1109-1112.
    • Handle: RePEc:taf:quantf:v:10:y:2010:i:10:p:1109-1112
    DOI: 10.1080/14697680903341806
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    References listed on IDEAS

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    1. Erhan Bayraktar & Hasanjan Sayit, 2010. "No arbitrage conditions for simple trading strategies," Annals of Finance, Springer, vol. 6(1), pages 147-156, January.
    2. Paolo Guasoni & Mikl'os R'asonyi & Walter Schachermayer, 2008. "Consistent price systems and face-lifting pricing under transaction costs," Papers 0803.4416, arXiv.org.
    3. Paolo Guasoni, 2006. "No Arbitrage Under Transaction Costs, With Fractional Brownian Motion And Beyond," Mathematical Finance, Wiley Blackwell, vol. 16(3), pages 569-582, July.
    4. Erhan Bayraktar & H. Vincent Poor, 2005. "Arbitrage In Fractal Modulated Black–Scholes Models When The Volatility Is Stochastic," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(03), pages 283-300.
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    Cited by:

    1. Christoph Czichowsky & Walter Schachermayer, 2015. "Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion," Papers 1505.02416, arXiv.org, revised Aug 2016.
    2. Erhan Bayraktar & Mikko S. Pakkanen & Hasanjan Sayit, 2009. "On the Existence of Consistent Price Systems," Papers 0911.3789, arXiv.org, revised Jun 2013.
    3. Christian Bender & Mikko S. Pakkanen & Hasanjan Sayit, 2013. "Sticky continuous processes have consistent price systems," CREATES Research Papers 2013-38, Department of Economics and Business Economics, Aarhus University.
    4. Czichowsky, Christoph & Schachermayer, Walter, 2017. "Portfolio optimisation beyond semimartingales: shadowprices and fractional Brownian motion," LSE Research Online Documents on Economics 67689, London School of Economics and Political Science, LSE Library.
    5. Erhan Bayraktar & Xiang Yu, 2018. "On the market viability under proportional transaction costs," Mathematical Finance, Wiley Blackwell, vol. 28(3), pages 800-838, July.
    6. Christian Bender & Mikko S. Pakkanen & Hasanjan Sayit, 2013. "Sticky continuous processes have consistent price systems," Papers 1310.7857, arXiv.org, revised Aug 2014.

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