Financial Transaction Taxation in Agent-Based Simulation

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Financial Transaction Taxation in Agent-Based Simulation

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Financial Transaction Taxation in Agent-Based Simulation

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2016

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

E+M Ekonomie a Management

ISSN

1212-3609

e-ISSN

—

Svazek periodika

19

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

12

Strana od-do

176-187

Kód UT WoS článku

000378672100012

EID výsledku v databázi Scopus

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