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Transaction taxes, greed and risk aversion in an agent-based financial market model

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  • Markus Demary

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    File URL: http://hdl.handle.net/10.1007/s11403-010-0071-9
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    Bibliographic Info

    Article provided by Springer in its journal Journal of Economic Interaction and Coordination.

    Volume (Year): 6 (2011)
    Issue (Month): 1 (May)
    Pages: 1-28

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    Handle: RePEc:spr:jeicoo:v:6:y:2011:i:1:p:1-28

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    Web page: http://www.springer.com/economics/economic+theory/journal/11403

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    Related research

    Keywords: Agent-based financial market models; Regulations of financial markets; Financial stability; Monte carlo analysis; Technical and fundamental analysis; C15; D84; G01; G15; G18;

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    1. Manzan, Sebastiano & Westerhoff, Frank H., 2007. "Heterogeneous expectations, exchange rate dynamics and predictability," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 64(1), pages 111-128, September.
    2. Frank Westerhoff & Cristian Wieland, . "Exchange rate dynamics, central bank interventions and chaos control methods," Modeling, Computing, and Mastering Complexity 2003 22, Society for Computational Economics.
    3. Taylor, Mark P. & Allen, Helen, 1992. "The use of technical analysis in the foreign exchange market," Journal of International Money and Finance, Elsevier, Elsevier, vol. 11(3), pages 304-314, June.
    4. Simone Alfarano & Thomas Lux & Friedrich Wagner, 2005. "Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 26(1), pages 19-49, August.
    5. Gilli, M. & Winker, P., 2003. "A global optimization heuristic for estimating agent based models," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 42(3), pages 299-312, March.
    6. Manfred Gilli & Peter Winker & Vahidin Jeleskovic, 2006. "An Objective Function for Simulation Based Inference on Exchange Rate Data," Computing in Economics and Finance 2006, Society for Computational Economics 147, Society for Computational Economics.
    7. Frank Westerhoff, 2002. "Heterogeneous Traders and the Tobin Tax," Computing in Economics and Finance 2002, Society for Computational Economics 51, Society for Computational Economics.
    8. Manzan, S. & Westerhoff, F., 2002. "Representativeness of News and Exchange Rate Dynamics," CeNDEF Working Papers 02-13, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    9. Cars H. Hommes, 2005. "Heterogeneous Agent Models in Economics and Finance," Tinbergen Institute Discussion Papers 05-056/1, Tinbergen Institute.
    10. Leigh Tesfatsion, 2002. "Agent-Based Computational Economics," Computational Economics, EconWPA 0203001, EconWPA, revised 15 Aug 2002.
    11. Lukas Menkhoff & Mark P. Taylor, 2007. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Journal of Economic Literature, American Economic Association, vol. 45(4), pages 936-972, December.
    12. Tesfatsion, Leigh & Judd, Kenneth L., 2006. "Handbook of Computational Economics, Vol. 2: Agent-Based Computational Economics," Staff General Research Papers 10368, Iowa State University, Department of Economics.
    13. Menkhoff, Lukas & Schmidt, Ulrich, 2005. "The Use of Trading Strategies by Fund Managers: Some First Survey Evidence," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät dp-314, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    14. Westerhoff, Frank H., 2004. "Multiasset Market Dynamics," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 8(05), pages 596-616, November.
    15. repec:att:wimass:9621 is not listed on IDEAS
    16. James Tobin, 1978. "A Proposal for International Monetary Reform," Eastern Economic Journal, Eastern Economic Association, vol. 4(3-4), pages 153-159, Jul/Oct.
    17. De Grauwe, Paul & Grimaldi, Marianna, 2006. "Exchange rate puzzles: A tale of switching attractors," European Economic Review, Elsevier, Elsevier, vol. 50(1), pages 1-33, January.
    18. LeBaron, Blake, 2006. "Agent-based Computational Finance," Handbook of Computational Economics, Elsevier, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 24, pages 1187-1233 Elsevier.
    19. Lux, T. & M. Marchesi, . "Volatility Clustering in Financial Markets: A Micro-Simulation of Interacting Agents," Discussion Paper Serie B 437, University of Bonn, Germany, revised Jul 1998.
    20. Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 22(8-9), pages 1235-1274, August.
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    Cited by:
    1. Rosenthal, Dale W.R. & Thomas, Nordia Diana Marie, 2012. "Transact taxes in a price maker/taker market," MPRA Paper 40556, University Library of Munich, Germany.

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