Ehrenstein, G.; Westerhoff, F.; Stauffer, D. - In: Quantitative Finance 5 (2005) 2, pp. 213-218
This paper investigates—on the basis of the Cont-Bouchaud model—whether a Tobin tax can stabilize foreign exchange markets. Compared to earlier multi-agent studies, this paper explicitly recognizes that a transaction tax-induced reduction in market depth may increase the price responsiveness...