Title: Financial transaction taxation in agent-based simulation
Authors: Šperka, Roman
Szarowská, Irena
Citation: E+M. Ekonomie a Management = Economics and Management. 2016, č. 2, s. 176-187.
Issue Date: 2016
Publisher: Technická univerzita v Liberci
Document type: článek
URI: http://www.ekonomie-management.cz/download/1465542725_4413/12_FINANCIAL+TRANSACTION+TAXATION.pdf
ISSN: 1212-3609 (Print)
2336-5604 (Online)
Keywords: daň;agent založený na simulaci;fundamentální analýza;technická analýza
Keywords in different language: tax;agent-based simulation;fundamental analysis;technical analysis
Abstract in different language: 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 a 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. 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’ influence on the financial market.
Rights: © Technická univerzita v Liberci
CC BY-NC 4.0
Appears in Collections:Číslo 2 (2016)
Číslo 2 (2016)

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Please use this identifier to cite or link to this item: http://hdl.handle.net/11025/21502

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