The effects of a financial transaction tax in an artificial financial market:
We investigate the effects of a Financial Transaction Tax (FTT) in an order-driven artificial financial market. FTTs are meant to limit short-term speculative behavior by reducing the amount of excess liquidity in the system. To quantify these effects, adjustments in trading strategies and their eff...
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| Main Authors: | , |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Kiel
Kiel Inst. for the World Economy
2013
|
| Series: | Kiel working paper
1868 |
| Online Access: | Volltext http://hdl.handle.net/10419/80349 |
| Summary: | We investigate the effects of a Financial Transaction Tax (FTT) in an order-driven artificial financial market. FTTs are meant to limit short-term speculative behavior by reducing the amount of excess liquidity in the system. To quantify these effects, adjustments in trading strategies and their effects on liquidity need to be taken into account. We model an agent-based continuous double-auction, allowing for a continuum of investment strategies within the chartist/fundamentalist framework. For certain parameter combinations, our model is able to reproduce certain stylized facts of financial time-series. We find largely positive effects of the FTT for small tax rates. Additionally, for large tax rates we find the effects not to be as negative as previously found. |
| Physical Description: | 1 Online-Ressource graph. Darst. |
| Format: | . - Acrobat Reader |
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| spelling | Fricke, Daniel 1985- Verfasser (DE-588)143104136 aut The effects of a financial transaction tax in an artificial financial market by Daniel Fricke and Thomas Lux Kiel Kiel Inst. for the World Economy 2013 1 Online-Ressource graph. Darst. txt rdacontent c rdamedia cr rdacarrier Kiel working paper 1868 We investigate the effects of a Financial Transaction Tax (FTT) in an order-driven artificial financial market. FTTs are meant to limit short-term speculative behavior by reducing the amount of excess liquidity in the system. To quantify these effects, adjustments in trading strategies and their effects on liquidity need to be taken into account. We model an agent-based continuous double-auction, allowing for a continuum of investment strategies within the chartist/fundamentalist framework. For certain parameter combinations, our model is able to reproduce certain stylized facts of financial time-series. We find largely positive effects of the FTT for small tax rates. Additionally, for large tax rates we find the effects not to be as negative as previously found. Online-Ausgabe Online-Ressource (42 S.) . - Acrobat Reader Lux, Thomas 1962- Verfasser (DE-588)130582387 aut Reproduktion von Fricke, Daniel, 1985- The effects of a financial transaction tax in an artificial financial market 2013 Kiel working paper 1868 (DE-604)BV019703993 1868 http://www.ifw-members.ifw-kiel.de//reference_catalog/lookupObject?uuid=bcb911e90bcb44567250b88240cff938 kostenfrei Volltext http://hdl.handle.net/10419/80349 Download aus dem Internet, Stand: 23.08.2013 |
| spellingShingle | Fricke, Daniel 1985- Lux, Thomas 1962- The effects of a financial transaction tax in an artificial financial market Kiel working paper |
| title | The effects of a financial transaction tax in an artificial financial market |
| title_auth | The effects of a financial transaction tax in an artificial financial market |
| title_exact_search | The effects of a financial transaction tax in an artificial financial market |
| title_full | The effects of a financial transaction tax in an artificial financial market by Daniel Fricke and Thomas Lux |
| title_fullStr | The effects of a financial transaction tax in an artificial financial market by Daniel Fricke and Thomas Lux |
| title_full_unstemmed | The effects of a financial transaction tax in an artificial financial market by Daniel Fricke and Thomas Lux |
| title_short | The effects of a financial transaction tax in an artificial financial market |
| title_sort | the effects of a financial transaction tax in an artificial financial market |
| url | http://www.ifw-members.ifw-kiel.de//reference_catalog/lookupObject?uuid=bcb911e90bcb44567250b88240cff938 http://hdl.handle.net/10419/80349 |
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