On the Stickiness Property
arXiv:0801.0718
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.
Key words: Transaction costs. No Arbitrage. Sticky processes. Time change