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首页> 外文期刊>Journal of Economic Interaction and Coordination >The effects of a financial transaction tax in an artificial financial market
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The effects of a financial transaction tax in an artificial financial market

机译：人工金融市场中的金融交易税的影响

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摘要

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.
机译：我们调查在订单驱动的人工金融市场中金融交易税（FTT）的影响。 FTT旨在通过减少系统中过多的流动性来限制短期投机行为。为了量化这些影响，需要考虑交易策略的调整及其对流动性的影响。我们对基于代理人的连续双重拍卖进行建模，从而在宪章/基金设计者框架内实现连续的投资策略。对于某些参数组合，我们的模型能够再现金融时间序列的某些风格化事实。我们发现，FTT对小税率的影响很大。此外，对于高税率，我们发现其影响不会像以前那样负面。

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  • 作者

    Daniel Fricke; Thomas Lux;

  • 作者单位

    Institute for New Economic Thinking, Oxford Martin School, Walton Well Road (Eagle House), Oxford, OX2, UK,CABDyN Complexity Centre, Saied Business School, University of Oxford, Park End St, Oxford OX1 1HP, UK,Kiel Institute for the World Economy, Hindenburgufer 66, 24105 Kiel, Germany;

    Kiel Institute for the World Economy, Hindenburgufer 66, 24105 Kiel, Germany,Department of Economics, University of Kiel, Olshausenstr. 40, 24118 Kiel, Germany,Banco de Espana Computational Economics, University Jaume I, Campus del Riu Sec, 12071 Castelln, Spain;

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  • 原文格式 PDF
  • 正文语种 eng
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  • 关键词

    Transaction tax; Tobin tax; Market microstructure; Agent-based models; Speculative bubbles;

    机译：交易税;托宾税;市场微观结构;基于代理的模型;投机泡沫;

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