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Bubbles in hybrid markets: : How expectations about algorithmic trading affect human trading.

Farjam, Mike LU and Kirchkamp, Oliver (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:
author
and
publishing date
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}},
}