Bubbles in hybrid markets: : How expectations about algorithmic trading affect human trading.
(2018) In Journal of Economic Behavior and Organization 146. p.248-269- Abstract
- Bubbles are omnipresent in lab experiments with asset markets. Most of these experiments are conducted in environments with only human traders. Since today's markets are substantially determined by algorithmic trading, we use a laboratory experiment to measure how human trading depends on the expected presence of algorithmic traders. We find that bubbles are clearly smaller when human traders expect algorithmic traders to be present.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/c7e872b6-2cd6-4300-afe4-becf7bd865f7
- author
- Farjam, Mike LU and Kirchkamp, Oliver
- publishing date
- 2018
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Bubbles, Expectations, Experiment, Algorithmic traders
- in
- Journal of Economic Behavior and Organization
- volume
- 146
- pages
- 22 pages
- publisher
- Elsevier
- external identifiers
-
- scopus:85044265191
- ISSN
- 0167-2681
- DOI
- 10.1016/j.jebo.2017.11.011
- language
- English
- LU publication?
- no
- id
- c7e872b6-2cd6-4300-afe4-becf7bd865f7
- date added to LUP
- 2021-01-20 16:48:30
- date last changed
- 2022-04-27 00:01:17
@article{c7e872b6-2cd6-4300-afe4-becf7bd865f7, abstract = {{Bubbles are omnipresent in lab experiments with asset markets. Most of these experiments are conducted in environments with only human traders. Since today's markets are substantially determined by algorithmic trading, we use a laboratory experiment to measure how human trading depends on the expected presence of algorithmic traders. We find that bubbles are clearly smaller when human traders expect algorithmic traders to be present.}}, author = {{Farjam, Mike and Kirchkamp, Oliver}}, issn = {{0167-2681}}, keywords = {{Bubbles; Expectations; Experiment; Algorithmic traders}}, language = {{eng}}, pages = {{248--269}}, publisher = {{Elsevier}}, series = {{Journal of Economic Behavior and Organization}}, title = {{Bubbles in hybrid markets: : How expectations about algorithmic trading affect human trading.}}, url = {{http://dx.doi.org/10.1016/j.jebo.2017.11.011}}, doi = {{10.1016/j.jebo.2017.11.011}}, volume = {{146}}, year = {{2018}}, }