摘要翻译：
文[2]中引入了随机过程粘性的概念。研究还表明，在具有比例交易费用的市场中，粘性意味着套利行为的缺失。本文进一步研究了粘性的概念。特别地，我们给出了不是半鞅而是粘性过程的例子。
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英文标题：
《On the Stickiness Property》
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作者：
Erhan Bayraktar, Hasanjan Sayit
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最新提交年份：
2009
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  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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PDF链接：
https://arxiv.org/pdf/0801.0718