Effects of Tobin taxes in minority game markets
Bianconi, Ginestra, Galla, Tobias and Marsili, Matteo, 1966- (2006) Effects of Tobin taxes in minority game markets. Working Paper. Warwick Business School, Financial Econometrics Research Centre, Coventry.
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We show that the introduction of Tobin taxes in agent-based models of currency markets can lead to a reduction of speculative trading and reduce the magnitude of exchange rate fluctuations at intermediate tax rates. In this regime revenues for the market maker obtained from speculators are maximal. We here focus on Minority Game models of markets, which are accessible by exact techniques from statistical mechanics. Results are supported by computer simulations. Our findings suggest that at finite systems sizes the effect is most pronounced in a critical region around the phase transition of the infinite system, but much weaker if the market is operating far from criticality and does not exhibit anomalous fluctuations.
|Item Type:||Working or Discussion Paper (Working Paper)|
|Subjects:||H Social Sciences > HG Finance|
|Divisions:||Faculty of Social Sciences > Warwick Business School > Financial Econometrics Research Centre
Faculty of Social Sciences > Warwick Business School
|Library of Congress Subject Headings (LCSH):||Tobin, James, 1918-2002, Foreign exchange -- Taxation, Statistical mechanics, Money market -- Mathematical models|
|Series Name:||Working papers (Warwick Business School. Financial Econometrics Research Centre)|
|Publisher:||Warwick Business School, Financial Econometrics Research Centre|
|Place of Publication:||Coventry|
|Date:||6 March 2006|
|Number of Pages:||15|
|Status:||Not Peer Reviewed|
|Access rights to Published version:||Open Access|
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