@article{Demary2010Transaction,
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 Market Models 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.},
address = {Kiel},
author = {Markus Demary},
copyright = {http://creativecommons.org/licenses/by-nc/2.0/de/deed.en},
doi = {10.5018/economics-ejournal.ja.2010-8},
journal = {Economics: The Open-Access, Open-Assessment E-Journal},
keywords = {C15; D84; G01; G15; G18; 330; Agent-based models; financial market stability; regulation of financial Markets; technical and fundamental analysis; transaction taxes; Tobinsteuer; Anlageverhalten; Institutioneller Anleger; Devisenmarkt; Wechselkurs; Volatilit\"{a}t; Wirkungsanalyse; Agent-based Model; Theorie},
language = {eng},
number = {2010-8},
pages = {1-44},
publisher = {Kiel Inst. for the World Economy},
title = {Transaction taxes and traders with heterogeneous investment horizons in an agent-based financial market model},
url = {http://hdl.handle.net/10419/30070},
volume = {4},
year = {2010}
}

