@Article{macau_mods_00005991,
  author = 	{Demary, Markus},
  title = 	{Transaction Taxes and Traders with Heterogeneous Investment Horizons in an Agent-Based Financial Market Model},
  journal = 	{Economics},
  year = 	{2010},
  publisher = 	{Walter de Gruyter GmbH},
  address = 	{Berlin; Kiel},
  volume = 	{4},
  number = 	{1},
  keywords = 	{Agent-based models; financial market stability; regulation; financial Markets; technical analysis; fundamental analysis; transaction taxes},
  abstract = 	{This agent-based financial market model is a generalization of the model of Westerhoff (The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies) by traders who are allowed to have different investment horizons as introduced by Demary (Who Does a Currency Transaction Tax Harm More: Short-Term Speculators or Long-Term Investors?). Our research goals are, first, to study what consequences the introduction of heterogeneous investment horizons has for agent-based financial market models, and second, how effective transaction taxes are in stabilizing financial markets. Numerical simulations reveal that under sufficiently small tax rates traders abstain from short-term trading in favour of longer investment horizons. This change in behavior leads to less volatility and less mispricings. When the tax rate exceeds a certain threshold, however, mispricings increase as also found in Westerhoff (Heterogeneous Traders and the Tobin Tax and The Use of Agent-Based Financial MarketModels to Test the Effectiveness of Regulatory Policies). This emergent property is due to the fact that taxation reduces short-term fluctuations and causes longer lasting trends in the exchange rate. As a result, the longer term fundamentalist trading rule becomes unpopular in favor of the longer term trend-chasing rule.},
  issn = 	{1864-6042},
  doi = 	{10.5018/economics-ejournal.ja.2010-8},
  url = 	{https://macau.uni-kiel.de/receive/macau_mods_00005991},
  url = 	{https://doi.org/10.5018/economics-ejournal.ja.2010-8},
  file = 	{:https://macau.uni-kiel.de/servlets/MCRFileNodeServlet/macau_derivate_00007453/10.5018_economics-ejournal.ja.2010-8.pdf:PDF},
  language = 	{en}
}