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

Mike Farjam and Oliver Kirchkamp

Journal of Economic Behavior & Organization, 2018, vol. 146, issue C, 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.

Keywords: Bubbles; Expectations; Experiment; Algorithmic traders (search for similar items in EconPapers)
JEL-codes: C92 G02 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167268117303153
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Bubbles in Hybrid Markets - How Expectations about Algorithmic Trading Affect Human Trading (2015)
Working Paper: Bubbles in hybrid markets - How expectations about algorithmic trading affect human trading (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jeborg:v:146:y:2018:i:c:p:248-269

DOI: 10.1016/j.jebo.2017.11.011

Access Statistics for this article

Journal of Economic Behavior & Organization is currently edited by Houser, D. and Puzzello, D.

More articles in Journal of Economic Behavior & Organization from Elsevier
Bibliographic data for series maintained by Catherine Liu ().