On measures of unfairness and an optimal currency transaction tax
| dc.creator | Herzberg, Frederik | |
| dc.date | 2004-10-25 | |
| dc.date | 2005-06-15 | |
| dc.date.accessioned | 2026-07-07T05:13:42Z | |
| dc.date.available | 2026-07-07T05:13:42Z | |
| dc.description | 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. | |
| dc.description | minor changes | |
| dc.identifier | https://arxiv.org/abs/math/0410543 | |
| dc.identifier | http://arxiv.org/abs/math/0410543 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/73006 | |
| dc.subject | Probability | |
| dc.subject | Optimization and Control | |
| dc.subject | Primary 60G44, 91B24; Secondary 91B28 | |
| dc.title | On measures of unfairness and an optimal currency transaction tax | |
| dc.type | text |