FINANCIAL TRANSACTION TAXATION IN AGENT-BASED SIMULATION

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
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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
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