Financial Transaction Taxation in Agent-Based Simulation

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F16%3A00010518" target="_blank" >RIV/47813059:19520/16:00010518 - isvavai.cz</a>
Result on the web
<a href="http://www.ekonomie-management.cz/download/1465542725_4413/12_FINANCIAL+TRANSACTION+TAXATION.pdf" target="_blank" >http://www.ekonomie-management.cz/download/1465542725_4413/12_FINANCIAL+TRANSACTION+TAXATION.pdf</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.15240/tul/001/2016-2-012" target="_blank" >10.15240/tul/001/2016-2-012</a>

Result language
angličtina
Original language name
Financial Transaction Taxation in Agent-Based Simulation
Original language description
The aim of this paper is to investigate the impact of financial transaction taxes (FTTs) on the stability of financial markets. This paper presents an agent-based financial market model and simulations in which agents follow technical and fundamental trading rules to determine their speculative investment positions. The model developed by Westerhoff (2009) was chosen for implementation and was extended by FTT and arising transaction costs. Because FTTs may be defined in various ways, this paper defines assets as tax objects. The model includes direct interactions between speculators, which may lead them to decide to change their trading behavior and addresses a technical and fundamental strategy of market participants. The results suggest that the modified model has a tendency to stabilize itself in the long term if fundamental trading rules outweigh the technical trading method. This model could be used when bubbles and crashes occur in financial markets. Asset prices would be stabilized because their value targets near the fundamental value and volatility would also be minimized. Setting FTTs at a low rate for market stabilization is important. If FTTs and consequent transaction costs are too high, then the financial system will destabilize and prices will grow without limit.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50206 - Finance

Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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