We develop a new methodology to estimate the impact of a financial transaction tax (FTT) on financial market outcomes. In our sequential trading model, there are price-elastic noise and informed traders. We estimate the model through maximum likelihood for a sample of sixty New York Stock...

We develop a new methodology to estimate the impact of a financial transaction tax (FTT) on informational efficiency, liquidity and volatility. In our sequential trading model there are price elastic noise traders and traders with private information of heterogeneous quality. We estimate the...

Multi-agent, financial forecasting, neural networks, dynamical systems, market modeling, cognitive systems, econometrics. - One of the challenges of financial research is to develop models that are capable of explaining and forecasting market price movements and returns.Agent based models focus...