In his recent paper, Paolo Guasoni introduced the notion of sticky processes and showed that stickiness implies absence of arbitrage in a market with friction. This work investigates the sticky property further. We show that stickiness is invariant under composition with continuous functions. We show a time change result on stickiness and provide sufficient conditions for the sticky property of continuous semimartinagles. As a result, our work provides an extended class of stochastic processes that are consistent with the no arbitrage property in this market. ( Slides)
Speaker: Hasanjan Sayit, Worcester Polytechnic Institute