On measures of unfairness and an optimal currency transaction tax
Probability
2007-05-23 v3 Optimization and Control
Abstract
The purpose of the present paper is the analysis of a model describing how herd behaviour and self-fulfilling prophecies can influence currency exchange rates, and what the impact of a currency transaction tax would be. These considerations yield a stochastic differential equation that can be studied using the methods of infinitesimal analysis. We will show, using a suitable notion of unfairness for discounted price processes which measures the distance from being a martingale, that the fairest tax rate is the maximal one subject to the condition that it does not affect real-economic speculation.
Keywords
Cite
@article{arxiv.math/0410543,
title = {On measures of unfairness and an optimal currency transaction tax},
author = {Frederik Herzberg},
journal= {arXiv preprint arXiv:math/0410543},
year = {2007}
}
Comments
minor changes