Arbeitspapier
The effects of a financial transaction tax in an artificial financial market
We investigate the effects of a Financial Transaction Tax (FTT) in an order-driven artificial financial market. FTTs are meant to limit short-term speculative behavior by reducing the amount of excess liquidity in the system. To quantify these effects, adjustments in trading strategies and their effects on liquidity need to be taken into account. We model an agent-based continuous double-auction, allowing for a continuum of investment strategies within the chartist/fundamentalist framework. For certain parameter combinations, our model is able to reproduce certain stylized facts of financial time-series. We find largely positive effects of the FTT for small tax rates. Additionally, for large tax rates we find the effects not to be as negative as previously found.
- Language
-
Englisch
- Bibliographic citation
-
Series: Kiel Working Paper ; No. 1868
- Classification
-
Wirtschaft
Taxation, Subsidies, and Revenue: General
Computational Techniques; Simulation Modeling
Auctions
- Subject
-
Transaction Tax
Tobin Tax
Market Microstructure
Agent-Based Models
Speculative Bubbles
- Event
-
Geistige Schöpfung
- (who)
-
Fricke, Daniel
Lux, Thomas
- Event
-
Veröffentlichung
- (who)
-
Kiel Institute for the World Economy (IfW)
- (where)
-
Kiel
- (when)
-
2013
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Fricke, Daniel
- Lux, Thomas
- Kiel Institute for the World Economy (IfW)
Time of origin
- 2013
Other Objects (12)
Financial power laws: Empirical evidence, models, and mechanism
On the distribution of links in financial networks: Structural heterogeneity and functional form
Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effects in a Business Climate Survey
Estimation of sentiment effects in financial markets: A simulated method of moments approach
A noise trader model as a generator of apparent financial power laws and long memory
Banking, Shadow Banking, and Financial Regulation - An Agent-based Approach
Microscopic models of financial markets
The effects of a financial transaction tax in an artificial financial market
Stochastic behavioral asset pricing models and the stylized facts
Network effects and systemic risk in the banking sector
Emergence of a Core-Periphery Structure in a Simple Dynamic Model of the Interbank Market
Stochastic behavioral asset pricing models and the stylized facts
Financial power laws: Empirical evidence, models, and mechanism
On the distribution of links in financial networks: Structural heterogeneity and functional form
Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effects in a Business Climate Survey
Estimation of sentiment effects in financial markets: A simulated method of moments approach
A noise trader model as a generator of apparent financial power laws and long memory
Banking, Shadow Banking, and Financial Regulation - An Agent-based Approach
Microscopic models of financial markets
The effects of a financial transaction tax in an artificial financial market
Stochastic behavioral asset pricing models and the stylized facts
Network effects and systemic risk in the banking sector
Emergence of a Core-Periphery Structure in a Simple Dynamic Model of the Interbank Market
Stochastic behavioral asset pricing models and the stylized facts
Financial power laws: Empirical evidence, models, and mechanism
On the distribution of links in financial networks: Structural heterogeneity and functional form
Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effects in a Business Climate Survey
Estimation of sentiment effects in financial markets: A simulated method of moments approach
A noise trader model as a generator of apparent financial power laws and long memory
Banking, Shadow Banking, and Financial Regulation - An Agent-based Approach
Microscopic models of financial markets
The effects of a financial transaction tax in an artificial financial market
Stochastic behavioral asset pricing models and the stylized facts
Network effects and systemic risk in the banking sector
Emergence of a Core-Periphery Structure in a Simple Dynamic Model of the Interbank Market