000K  utf8
1100  $c2010
1500  eng
2050  urn:nbn:de:gbv:8:3-2025-00459-4
2051  10.5018/economics-ejournal.ja.2010-8
3000  Demary, Markus
4000  Transaction Taxes and Traders with Heterogeneous Investment Horizons in an Agent-Based Financial Market Model$hWalter de Gruyter GmbH  [Demary, Markus]
4030  $nWalter de Gruyter GmbH
4209  This agent-based financial market model is a generalization of the model of Westerhoff (The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies) by traders who are allowed to have different investment horizons as introduced by Demary (Who Does a Currency Transaction Tax Harm More: Short-Term Speculators or Long-Term Investors?). Our research goals are, first, to study what consequences the introduction of heterogeneous investment horizons has for agent-based financial market models, and second, how effective transaction taxes are in stabilizing financial markets. Numerical simulations reveal that under sufficiently small tax rates traders abstain from short-term trading in favour of longer investment horizons. This change in behavior leads to less volatility and less mispricings. When the tax rate exceeds a certain threshold, however, mispricings increase as also found in Westerhoff (Heterogeneous Traders and the Tobin Tax and The Use of Agent-Based Financial MarketModels to Test the Effectiveness of Regulatory Policies). This emergent property is due to the fact that taxation reduces short-term fluctuations and causes longer lasting trends in the exchange rate. As a result, the longer term fundamentalist trading rule becomes unpopular in favor of the longer term trend-chasing rule.
4950  https://doi.org/10.5018/economics-ejournal.ja.2010-8$xR$3Volltext$534
4950  https://nbn-resolving.org/urn:nbn:de:gbv:8:3-2025-00459-4$xR$3Volltext$534
4961  https://macau.uni-kiel.de/receive/macau_mods_00005991
5051  330
5550  Agent-based models
5550  financial Markets
5550  financial market stability
5550  fundamental analysis
5550  regulation
5550  technical analysis
5550  transaction taxes