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

  • Markus Demary

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    File URL: http://hdl.handle.net/10.1007/s11403-010-0071-9
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    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
    Contact details of provider: Web page: http://www.springer.com/economics/economic+theory/journal/11403

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    1. Frank Westerhoff, 2003. "Multi-Asset Market Dynamics," Computing in Economics and Finance 2003 88, Society for Computational Economics.
    2. 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, vol. 26(1), pages 19-49, August.
    3. Wieland, Cristian & Westerhoff, Frank H., 2005. "Exchange rate dynamics, central bank interventions and chaos control methods," Journal of Economic Behavior & Organization, Elsevier, vol. 58(1), pages 117-132, September.
    4. Manzan, Sebastiano & Westerhoff, Frank, 2005. "Representativeness of news and exchange rate dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 29(4), pages 677-689, April.
    5. Manzan, Sebastiano & Westerhoff, Frank H., 2007. "Heterogeneous expectations, exchange rate dynamics and predictability," Journal of Economic Behavior & Organization, Elsevier, vol. 64(1), pages 111-128, September.
    6. Taylor, Mark P. & Allen, Helen, 1992. "The use of technical analysis in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 11(3), pages 304-314, June.
    7. Gilli, M. & Winker, P., 2003. "A global optimization heuristic for estimating agent based models," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 299-312, March.
    8. 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.
    9. Frank Westerhoff, 2003. "Heterogeneous traders and the Tobin tax," Journal of Evolutionary Economics, Springer, vol. 13(1), pages 53-70, 02.
    10. Peter Winker & Manfred Gilli & Vahidin Jeleskovic, 2007. "An Objective Function for Simulation Based Inference on Exchange Rate Data," Swiss Finance Institute Research Paper Series 07-01, Swiss Finance Institute.
    11. 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.
    12. 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, vol. 22(8-9), pages 1235-1274, August.
    13. Lukas Menkhoff & Ulrich Schmidt, 2005. "The use of trading strategies by fund managers: some first survey evidence," Applied Economics, Taylor & Francis Journals, vol. 37(15), pages 1719-1730.
    14. James Tobin, 1978. "A Proposal for International Monetary Reform," Cowles Foundation Discussion Papers 506, Cowles Foundation for Research in Economics, Yale University.
    15. repec:dgr:uvatin:20050056 is not listed on IDEAS
    16. LeBaron, Blake, 2006. "Agent-based Computational Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 24, pages 1187-1233 Elsevier.
    17. Leigh Tesfatsion, 2002. "Agent-Based Computational Economics," Computational Economics 0203001, EconWPA, revised 15 Aug 2002.
    18. De Grauwe, Paul & Grimaldi, Marianna, 2006. "Exchange rate puzzles: A tale of switching attractors," European Economic Review, Elsevier, vol. 50(1), pages 1-33, January.
    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.
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