Transaction costs influence on the stability of financial market: agent-based simulation

Roman Šperka and Marek Spišák

Journal of Business Economics and Management, 2013, vol. 14, issue sup1, S1-S12

Abstract: We implement an agent-based simulation of financial market model. Agent-based simulations are used nowadays as an alternative to the traditional models, based on predetermined equilibrium state theory. Agent technology brings some kind of local intelligence and rational expectations to the decision support system of financial market participants. Agents follow technical and fundamental trading rules to determine their speculative investment positions. We consider direct interactions between speculators and they may decide to change their trading behaviour. If a technical trader meets a fundamental trader and they realize that fundamental trading has been more profitable than technical trading in recent past, the probability that the technical trader switches to the fundamental trading rules is relatively high. In particular the influence of transaction costs is studied in this paper. Transaction costs can be increased by the off-market regulation (for example in the form of taxes) on financial market stability, by overall volume of trade and other market characteristics. The paper shows a positive impact of suitable transaction costs on the financial market stability in the long run.

Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.3846/16111699.2012.701227 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:jbemgt:v:14:y:2013:i:sup1:p:s1-s12

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/TBEM20

DOI: 10.3846/16111699.2012.701227

Access Statistics for this article

Journal of Business Economics and Management is currently edited by Izolda Joksiene, Romualdas Ginevicius and Ieva Meidute

More articles in Journal of Business Economics and Management from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().