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We investigate the effects of a Financial Transaction Tax (FTT) in an order-driven artificial financial market. FTTs are meant to limit short-term speculative behavior by reducing the amount of excess liquidity in the system. To quantify these effects, adjustments in trading strategies and their...
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, price impact has two components: one due to asymmetric information (as in the seminal Kyle (1985) model) and one due to …
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, price impact has two components: one due to asymmetric information (as in the seminal Kyle (1985) model) and one due to …
Persistent link: https://www.econbiz.de/10013073196