Bubbles in Hybrid Markets - How Expectations about Algorithmic Trading Affect Human Trading

Mike Farjam and Oliver Kirchkamp

No 5631, CESifo Working Paper Series from CESifo

Abstract: Bubbles are omnipresent in lab experiments with asset markets. Most of these experiments were conducted in environments with only human traders. Today markets are substantially determined by algorithmic traders. Here we use a laboratory experiment to measure changes of human trading behavior if these humans expect algorithmic traders. To disentangle the direct effect of algorithmic traders we use a design where we manipulate only the expectations of human traders. We find clearly smaller bubbles if 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: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Bubbles in hybrid markets: How expectations about algorithmic trading affect human trading (2018)
Working Paper: Bubbles in hybrid markets - How expectations about algorithmic trading affect human trading (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_5631

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