-post and ex-ante types), of cancellation fees and of transaction taxes on asset price volatility and on the occurrence and … volatility and the frequency of flash crashes. However, these policies also imply a longer duration of flash crashes. Furthermore …, the introduction of an ex-ante circuit breaker markedly reduces price volatility and removes flash crashes. In contrast …

and crashes, fat-tailed return distributions, volatility clustering, persistent trading volume, coevolving stock prices …

due to taxation and how emergent properties from the interaction of traders like bubbles and crashes, excess volatility …, excess kurtosis and volatility clustering change. Numerical simulations reveal that under taxation traders abstain from short …-term trading in favour of longer investment horizons. This change in behavior leads to less excess volatility and diminishing …

investment horizons. This change in behavior leads to less volatility and less mispricings. When the tax rate exceeds a certain …

allow explaining and replicating most stylized facts of foreign exchange markets, namely (i) the excess volatility of the … exchange rate with respect to its fundamentals, (ii) booms, busts and precarious equilibria, (iii) clusters of volatility, (iv …

the demand per fundamentalist trader, which implies a structural stochastic volatility in the returns. Combining … also makes sure that the estimated structural parameters are well identified. -- Structural stochastic volatility ; method …