Department of Economics and Business Economics

Sticky continuous processes have consistent price systems

Research output: Working paperResearch

Standard

Sticky continuous processes have consistent price systems. / Bender, Christian; Pakkanen, Mikko; Sayit, Hasanjan.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2013.

Research output: Working paperResearch

Harvard

Bender, C, Pakkanen, M & Sayit, H 2013 'Sticky continuous processes have consistent price systems' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Bender, C., Pakkanen, M., & Sayit, H. (2013). Sticky continuous processes have consistent price systems. Aarhus: Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2013-38

CBE

Bender C, Pakkanen M, Sayit H. 2013. Sticky continuous processes have consistent price systems. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Bender, Christian, Mikko Pakkanen and Hasanjan Sayit Sticky continuous processes have consistent price systems. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal number 2013-38). 2013., 10 p.

Vancouver

Bender C, Pakkanen M, Sayit H. Sticky continuous processes have consistent price systems. Aarhus: Institut for Økonomi, Aarhus Universitet. 2013 Nov 18.

Author

Bender, Christian ; Pakkanen, Mikko ; Sayit, Hasanjan. / Sticky continuous processes have consistent price systems. Aarhus : Institut for Økonomi, Aarhus Universitet, 2013. (CREATES Research Papers; No. 2013-38).

Bibtex

@techreport{e58d8734ff304aad9fc69d303a77eebe,
title = "Sticky continuous processes have consistent price systems",
abstract = "Under proportional transaction costs, a price process is said to have a consistent price system, if there is a semimartingale with an equivalent martingale measure that evolves within the bid-ask spread. We show that a continuous, multi-asset price process has a consistent price system, under arbitrarily small proportional transaction costs, if it satisfies a natural multi-dimensional generalization of the stickiness condition introduced by Guasoni",
keywords = "Consistent price system, stickiness, martingale, arbitrage, transaction costs",
author = "Christian Bender and Mikko Pakkanen and Hasanjan Sayit",
year = "2013",
month = "11",
day = "18",
language = "English",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

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RIS

TY - UNPB

T1 - Sticky continuous processes have consistent price systems

AU - Bender, Christian

AU - Pakkanen, Mikko

AU - Sayit, Hasanjan

PY - 2013/11/18

Y1 - 2013/11/18

N2 - Under proportional transaction costs, a price process is said to have a consistent price system, if there is a semimartingale with an equivalent martingale measure that evolves within the bid-ask spread. We show that a continuous, multi-asset price process has a consistent price system, under arbitrarily small proportional transaction costs, if it satisfies a natural multi-dimensional generalization of the stickiness condition introduced by Guasoni

AB - Under proportional transaction costs, a price process is said to have a consistent price system, if there is a semimartingale with an equivalent martingale measure that evolves within the bid-ask spread. We show that a continuous, multi-asset price process has a consistent price system, under arbitrarily small proportional transaction costs, if it satisfies a natural multi-dimensional generalization of the stickiness condition introduced by Guasoni

KW - Consistent price system, stickiness, martingale, arbitrage, transaction costs

M3 - Working paper

BT - Sticky continuous processes have consistent price systems

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -