Huber, Jürgen; Kleinlercher, Daniel; Kirchler, Michael - In: Journal of Economic Dynamics and Control 36 (2012) 8, pp. 1248-1266
As the introduction of financial transaction taxes is increasingly discussed by political leaders we explore possible consequences such taxes could have on markets. Here we examine how “stylized facts”, namely fat tails and volatility clustering, are affected by different tax regimes in...