In \mbox{%DIFAUXCMD Gua 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 show that stickiness is invariant under composition with continuous functions. We also prove a time change result on stickiness. As an application we provide sufficient conditions for continuous semimartingales to be sticky (A counter example show that not all semi-martingales are sticky). As a result, our paper provides an extended class of stochastic processes that are consistent with the no arbitrage property in a market with friction .
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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\mbox{%DIFAUXCMD Gua
2
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show that stickiness is invariant under composition with continuous functions. We also prove a time change result on stickiness. As an application we provide sufficient conditions for continuous semimartingales to be sticky (A counter example show that not all semi-martingales are sticky). As a result, our paper provides an extended class of stochastic
give examples of
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consistent with the no arbitrage property in a market with friction
not semimartingales but are sticky