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Statements

Subject Item
n2:RIV%2F47813059%3A19520%2F13%3A%230002294%21RIV14-MSM-19520___
rdf:type
n3:Vysledek skos:Concept
dcterms:description
We implement an agent-based simulation of financial market model. Agent-based simulations are used nowadays as an alternative to the traditional models, based on predetermined equilibrium state theory. Agent technology brings some kind of local intelligence and rational expectations to the decision support system of financial market participants. Agents follow technical and fundamental trading rules to determine their speculative investment positions. We consider direct interactions between speculators and they may decide to change their trading behaviour. If a technical trader meets a fundamental trader and they realize that fundamental trading has been more profitable than technical trading in recent past, the probability that the technical trader switches to the fundamental trading rules is relatively high. In particular the influence of transaction costs is studied in this paper. Transaction costs can be increased by the off-market regulation (for example in the form of taxes) on f inancial market stability, by overall volume of trade and other market characteristics. The paper shows a positive impact of suitable transaction costs on the financial market stability in the long run. We implement an agent-based simulation of financial market model. Agent-based simulations are used nowadays as an alternative to the traditional models, based on predetermined equilibrium state theory. Agent technology brings some kind of local intelligence and rational expectations to the decision support system of financial market participants. Agents follow technical and fundamental trading rules to determine their speculative investment positions. We consider direct interactions between speculators and they may decide to change their trading behaviour. If a technical trader meets a fundamental trader and they realize that fundamental trading has been more profitable than technical trading in recent past, the probability that the technical trader switches to the fundamental trading rules is relatively high. In particular the influence of transaction costs is studied in this paper. Transaction costs can be increased by the off-market regulation (for example in the form of taxes) on f inancial market stability, by overall volume of trade and other market characteristics. The paper shows a positive impact of suitable transaction costs on the financial market stability in the long run.
dcterms:title
Transaction costs influence on the stability of financial market: agent-based simulation Transaction costs influence on the stability of financial market: agent-based simulation
skos:prefLabel
Transaction costs influence on the stability of financial market: agent-based simulation Transaction costs influence on the stability of financial market: agent-based simulation
skos:notation
RIV/47813059:19520/13:#0002294!RIV14-MSM-19520___
n3:predkladatel
n4:orjk%3A19520
n5:aktivita
n12:S
n5:aktivity
S
n5:cisloPeriodika
1
n5:dodaniDat
n15:2014
n5:domaciTvurceVysledku
n18:2029480 n18:6159958
n5:druhVysledku
n14:J
n5:duvernostUdaju
n17:S
n5:entitaPredkladatele
n9:predkladatel
n5:idSjednocenehoVysledku
111531
n5:idVysledku
RIV/47813059:19520/13:#0002294
n5:jazykVysledku
n19:eng
n5:klicovaSlova
agent-based; financial market; NetLogo; direct interactions; technical and fundamental analysis; simulation; Tobin tax
n5:klicoveSlovo
n6:technical%20and%20fundamental%20analysis n6:NetLogo n6:Tobin%20tax n6:agent-based n6:simulation n6:financial%20market n6:direct%20interactions
n5:kodStatuVydavatele
GB - Spojené království Velké Británie a Severního Irska
n5:kontrolniKodProRIV
[9929BE8956D0]
n5:nazevZdroje
Journal of Business Economics and Management
n5:obor
n16:IN
n5:pocetDomacichTvurcuVysledku
2
n5:pocetTvurcuVysledku
2
n5:rokUplatneniVysledku
n15:2013
n5:svazekPeriodika
14
n5:tvurceVysledku
SPIŠÁK, Marek ŠPERKA, Roman
n5:wos
000329161500001
s:issn
2029-4433
s:numberOfPages
12
n11:doi
10.3846/16111699.2012.701227
n8:organizacniJednotka
19520