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A Welfare Analysis of Progressive Tax and Transfer Policies: Is the Present System Better than the Flat Tax System?

Bhandari, Shailesh; Ph. D. - Society for Computational Economics - SCE - 2005

heterogeneous households with different income potential and paying different tax rates. The model incorporates progressive tax … rates and computes its effects on the welfare of the households. By altering the rate of tax progression, it is possible to … see and compare the effects of various tax structures on the welfare of the economy. My preliminary comparison of …

Persistent link: https://www.econbiz.de/10005343018

Margins and Transaction Taxes in an Artificial Speculative Futures Market

Ussher, Leanne J. - Society for Computational Economics - SCE - 2005

This paper creates an artificial stock market, from a minimalist heterogeneous agent model of futures speculation on a non-storable commodity, with real time gross settlement. All agents have risk neutral preferences and stochastic adaptive expectations according to different trader types...

Persistent link: https://www.econbiz.de/10005537485

Cross-Autocorrelation of Dual-Listed Stock Portfolio Returns: Evidence from the Chinese Stock Market

Wang, Daxue - Society for Computational Economics - SCE - 2006

In this paper, we apply a GARCH model to examine the cross-autocorrelation pattern between daily returns of portfolios composed of dual-listed stocks in Chinese stock market, before and after China opened its once foreign-exclusive B-share market. A lead-lag relationship between the A-share and...

Persistent link: https://www.econbiz.de/10005706171

Applications of Kernel Methods in Financial Risk Management

Mitschele, Andreas; Chalup, Stephan; Schlottmann, Frank; … - Society for Computational Economics - SCE - 2006

Since their introduction Kernel Methods have proven their superior performance in many different application areas. Recently these algorithms have also been employed for different tasks in the area of finance. In this contribution we present an introduction to the methodology and give an...

Persistent link: https://www.econbiz.de/10005706183

Bubbles, Can We Spot Them? Crashes, Can We Predict Them?

Tan, Gee Kwang Randolph; Qin, Xiao - Society for Computational Economics - SCE - 2005

Johansen and Sornette proposes that the crash has fundamentally an endogenous origin and exogenous shocks only serve as triggering factors. This endogenous force is shown in price as power law log-periodicity (PLLP) signature prior to a crash. We estimate the highly nonlinear model developed by...

Persistent link: https://www.econbiz.de/10005706279

Spill-over dynamics of central bank interventions

Westerhoff, Frank; Wieland, Cristian - Society for Computational Economics - SCE

Central banks frequently intervene in foreign exchange markets to reduce volatility or to correct misalignments. Such operations may be successful if they drive away destabilizing speculators. However, the speculators do not simply vanish but may reappear on other foreign exchange markets. Using...

Persistent link: https://www.econbiz.de/10005706833

Exchange rate dynamics, central bank interventions and chaos control methods

Westerhoff, Frank; Wieland, Cristian - Society for Computational Economics - SCE

We use a simple chartist-fundamentalist model developed by Day and Huang to explore recent chaos control algorithms as potential candidates for central bank intervention rules. We find that methods such as delayed feedback control, OGY and constant feedback have, in principle, the potential to...

Persistent link: https://www.econbiz.de/10005132927

The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach

Westerhoff, Frank - Society for Computational Economics - SCE - 2004

have to pay a transaction tax in one market, price variability decreases in this market but increases in the other market …. However, the imposition of a uniform tax on all transactions stabilizes both markets. Our results suggest that if regulators … of a market introduce a transaction tax, other markets are likely to follow …

Persistent link: https://www.econbiz.de/10005345291

Computational Finance Techniques for Valuing Customers

Colliings, David; Baxter, Nicola - Society for Computational Economics - SCE - 2006

Understanding the value a customer has to a business is a fundamental problem. Accurate valuations are critical for setting appropriate levels of investment for targeted marketing and for the setting of individual customer service levels. Traditionally semi-qualitative methods using results from...

Persistent link: https://www.econbiz.de/10005537395

A Stochastic Programming Framework for International PortfolioManagement

Vladimirou, Hercules; Topaloglou, Nikolas; Zenios, … - Society for Computational Economics - SCE - 2006

We present a multi-stage stochastic programming model for managing portfolios of stock and bond indices denominated in multiple currencies. The portfolios are exposed to market risks and currency risks. Uncertainty in asset returns and exchange rates is represented by means of discrete...

Persistent link: https://www.econbiz.de/10005537444