FINANCIAL TRANSACTION TAXATION IN AGENT-BASED SIMULATION

Simple item page
dc.contributor.authorŠperka, Roman
dc.contributor.authorSzarowská, Irena
dc.contributor.otherEkonomická fakultacs
dc.date.accessioned2022-07-29T07:54:25Z
dc.date.available2022-07-29T07:54:25Z
dc.description.abstractThe aim of this paper is to investigate the impact of fi nancial transaction taxes (FTTs) on the stability of fi nancial markets. This paper presents an agent-based fi nancial 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 defi ned in various ways, this paper defi nes 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 a fundamental strategy of market participants. The results suggest that the modifi ed 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 fi nancial 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 fi nancial system will destabilize and prices will grow without limit. The model described in this paper explores dependence market stability to the extent of FTTs. However, the model should not be interpreted as a model only for the introduction of FTT, but as a general model of transaction costs’ infl uence on the fi nancial market.en
dc.formattext
dc.format.extent12 strancs
dc.identifier.doi10.15240/tul/001/2016-2-012
dc.identifier.eissn2336-5604
dc.identifier.issn12123609
dc.identifier.urihttps://dspace.tul.cz/handle/15240/165979
dc.language.isoen
dc.publisherTechnická Univerzita v Libercics
dc.publisherTechnical university of Liberec, Czech Republicen
dc.publisher.abbreviationTUL
dc.relation.isbasedon"Brock, W., & Hommes, C. (1997). A rational route to randomness. Econometrica, 65(5), 1059-1095. doi:10.2307/2171879.
dc.relation.isbasedonBrock, W., & Hommes, C. (1998). Heterogeneous beliefs and routes to chaos in a simple asset pricing model. Journal of Economic Dynamics Control, 22, 1235-1274. doi:10.1016/S0165-1889(98)00011-6.
dc.relation.isbasedonBurian, J. (2010). Multiagentní model transakčních nákladů na fi nančních trzích. Retrieved June 9, 2015, from http://www.eldar.cz/ honza/articles/burian_ace_fi n_market_tc.doc.
dc.relation.isbasedonDeMooij, R., & Nicodeme, G. (2014). Taxation and Regulation of the Financial Sector. Cambridge: MIT Press.
dc.relation.isbasedonEpstein, J.M., & Axtell, R. (1996). Growing Artifi cial Societies: Social Science from the Bottom Up. Washington, D.C.: Brookings Institution Press.
dc.relation.isbasedonEuropean Commission. (2010). Financial Sector Taxation (Working Paper No. 25). Luxembourg: Offi ce for Offi cial Publications of the European Communities. doi:10.2778/1549.
dc.relation.isbasedonGriffi th-Jones, S., & Persaud, A. (2012). Why critics are wrong about a fi nancial transaction tax. Retrieved June 9, 2015, from http://www.europeanvoice.com/article/2012/ march/why-critics-are-wrong-about-a-fi nancialtransaction- tax/73843.aspx.
dc.relation.isbasedonHabermeier, K., & Kirilenko, A. (2001). Securities Transaction Taxes and Financial Markets (IMF Working Paper No. 51). Retrieved June 9, 2015, from http://siteresources. worldbank.org/INTFR/Resources/Kirilenko- Habermeier_stt6.pdf.
dc.relation.isbasedonHayek, F.A. (1949). Individualism and Economic Order. London: Routledge and Kegan Paul.
dc.relation.isbasedonKaegi, M. (2009). Risk Analysis of Information Systems by Agent-based Modeling of Business Processes. Disertation. Zurrich: Swiss Federal Institute of Technology.
dc.relation.isbasedonKeen, M. (2011). Rethinking the Taxation of the Financial Sector. CESIFO ECONOMIC STUDIES, 57(1), 1-24. doi:10.1093/cesifo/ifq019.
dc.relation.isbasedonKeynes, J.M. (1936). The General Theory of Employment, Interest and Money. London: MacMillan.
dc.relation.isbasedonKirman, A. (1991). Epidemics of opinion and speculative bubbles in fi nancial markets. In M. Taylor (Ed.), Money and fi nancial markets (pp. 354-368). Oxford: Blackwell.
dc.relation.isbasedonKirman, A. (1993). Ants, rationality, and recruitment. Quarterly Journal of Economics, 108(1), 137-156.
dc.relation.isbasedonLux, T. (1998). The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions. Journal of Economic Behavior & Organization, 33(2), 143-165. doi:10.1016/ S0167-2681(97)00088-7.
dc.relation.isbasedonLux, T., & Marchesi, M. (1999). Scaling and criticality in a stochastich multi-agent model of a fi nancial market. Nature, 397, 498-500. doi:10.1038/17290.
dc.relation.isbasedonMacal, C.M., & North, M.J. (2006). Tutorial on Agent-Based Modeling and Simulation. Part 2: How to Model with Agents. In Proceedings of the Winter Simulation Conference (pp. 73-83). Monterey: WSC Foundation.
dc.relation.isbasedonMatheson, T. (2011). Taxing Financial Transactions: Issues and Evidence (IMF Working Paper No. 11/54). IMF. Retrieved from https://www.imf.org/external/pubs/ft/wp/2011/ wp1154.pdf.
dc.relation.isbasedonNerudová, D., & Dvořáková, V. (2014). The Estimation of Financial Transaction Tax Revenues as a New Own Resource of European Union Budget. Ekonomický časopis, 62(9), 945-958.
dc.relation.isbasedonPhylaktis, K., & Aristidou, A. (2007). Security Transaction Taxes and Financial Volatility: Athens Stock Exchange. Applied Financial Economics, 17(18), 1455-1467.
dc.relation.isbasedonRieger, J. (2014) Financial Transaction Tax and Financial Market Stability with Diverse Beliefs. Retrieved June 9, 2015, from http://www. uni-heidelberg.de/md/awi/forschung/dp563.pdf.
dc.relation.isbasedonSallach, D.L., & Macal, C.M. (2001). Introduction: The Simulation of Social Agents. Social Science Computer Review, 19(3), 15-29. doi:10.1177/089443930101900301.
dc.relation.isbasedonShackelford, D.A., Shaviro, D.N., & Slemrod, J. (2010). Taxation and the fi nancial sector. National Tax Journal, 63(4), 781-806.
dc.relation.isbasedonShaviro, D. (2012). The Financial Transactions Tax versus (?) the Financial Activities Tax. New York: NYU Center for Law, Economics and Organization. doi:10.2139/ ssrn.1989163.
dc.relation.isbasedonSchäfer, D. (2012) Financial transaction tax contributes to more sustainability in fi nancial markets (DIW Berlin Discussion Papers No. 1198). Retrieved from http://www.diw.de/ sixcms/detail.php?id=diw_01.c.395320.de.
dc.relation.isbasedonSchulmeister, S. (2015). The Struggle Over The Financial Transactions Tax: A Politico- Economic Farce. Revue de l’OFCE, 141(5), 15-56.
dc.relation.isbasedonSchulmeister, S. (2014) A General Financial Transactions Tax: Motives, Effects and Implementation According to the Proposal of the European Commission (WIFO Working Papers No. 46). doi:10.2139/ssrn.1714395.
dc.relation.isbasedonSchulmeister, S., Schratzenstaller, M., & Picek, O. (2008). A General Financial Transaction Tax: Motives, Revenues, Feasibility and Effects. doi:10.2139/ssrn.1714395.
dc.relation.isbasedonSimon, H.A. (1955). A Behavioral Model of Rational Choice. The Quarterly Journal of Economics, 69(1), 99-118.
dc.relation.isbasedonSzarowská, I. (2014). The Possibility of Financial Sector Taxation. In D. Stavárek, & P. Vodová (Eds.), Proceedings of 14th International Conference on Finance and Banking (pp. 401-409). Karviná: Silesian University, School of Business Administration.
dc.relation.isbasedonSzołno-Koguc, J., & Twarowska, M. (2014) Taxation of the Financial Sector in the European Union – An Attempt to Find the Best Solution. Journal of Economics and Management, 18, 179-191.
dc.relation.isbasedonŠperka, R., & Spišák, M. (2012). Tobin Tax Introduction and Risk Analysis in the Java Simulation. In Proceedings 30th International Conference Mathematical Methods in Economics, Part II (pp. 885-890). Karvina: Silesian University in Opava.
dc.relation.isbasedonŠperka, R., & Spišák, M. (2013). Transaction Costs Infl uence on the Stability of Financial Market: Agent-based Simulation. Journal of Business Economics and Management, 14(Supplement 1), S1-S12. doi:10.3846/16111 699.2012.701227.
dc.relation.isbasedonTesfatsion, L. (2002). Agent-Based Computational Economics: Growing Economies from the Bottom Up. Artifi cial Life, 8(1), pp. 55- 82.
dc.relation.isbasedonTobin, J. (1978). A Proposal for International Monetary Reform. Eastern Economic Journal, 4, 153-159.
dc.relation.isbasedonTobin, J. (2001). The antiglobalisation movement has highjacked my name. Hamburg: Spiegel, Jubilee Research. Retrieved from: http://archive.is/CdcBN.
dc.relation.isbasedonWesterhoff, F. (2009). A simple agent-based fi nancial market model: direct interactions and comparisons of trading profi ts (Working Paper No. 61). Bamberg University, BERG Working Paper Series on Government and Growth
dc.relation.ispartofEkonomie a Managementcs
dc.relation.ispartofEconomics and Managementen
dc.relation.isrefereedtrue
dc.rightsCC BY-NC
dc.subjectfinancial transaction taxen
dc.subjectagent-based modelen
dc.subjecttechnical and fundamental analysisen
dc.subjectsimulationen
dc.subject.classificationF38
dc.subject.classificationG18
dc.subject.classificationC63
dc.subject.classificationC88
dc.titleFINANCIAL TRANSACTION TAXATION IN AGENT-BASED SIMULATIONen
dc.typeArticleen
local.accessopen
local.citation.epage187
local.citation.spage176
local.facultyFaculty of Economics
local.fulltextyes
local.relation.abbreviationE+Mcs
local.relation.abbreviationE&Men
local.relation.issue2
local.relation.volume19
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
EM_2_2016_12.pdf
Size:
1.54 MB
Format:
Adobe Portable Document Format
Description:
článek
Download
Collections
Číslo 2