Projects per year
Abstract
Johnson, Zhao, Hunsader, Meng, Ravindar, Carran, and Tivnan (2012) recently suggested the existence of a phase transition in the dynamics of financial markets in which there is free interaction between human traders and algorithmic trading systems ("robots"). Above a particular time-threshold, humans and robots trade with one another; below the threshold all transactions are robot-to-robot. We refer to this abrupt system transition as the "robot phase transition". Here, we conduct controlled experiments where human traders interact with 'robot' trading agents in minimal models of electronic financial markets to see if correlates of the two regimes suggested by Johnson et al. (2012) occur in such laboratory conditions. Our results indicate that when trading robots act on a super-human timescale, the market starts to fragment, with statistically lower human-robot interactions than we would expect from a fully mixed market. We tentatively conclude that this is the first empirical evidence for the robot phase transition occurring under controlled experimental conditions.
Original language | English |
---|---|
Title of host publication | ICAART-2013 |
Subtitle of host publication | Proceedings of the Fifth International Conference on Agents and Artificial Intelligence, Vol. 1 (Agents) |
Editors | Joaquim Filipe, Ana L. N. Fred |
Place of Publication | Barcelona, Spain |
Publisher | SciTePress |
Pages | 345-352 |
Number of pages | 8 |
ISBN (Electronic) | 9789898565389 |
DOIs | |
Publication status | Published - Feb 2013 |
Event | ICAART-2013: 5th International Conference on Agents and Artificial Intelligence - Barcelona, Spain Duration: 15 Feb 2013 → 18 Feb 2013 |
Conference
Conference | ICAART-2013: 5th International Conference on Agents and Artificial Intelligence |
---|---|
Country | Spain |
City | Barcelona |
Period | 15/02/13 → 18/02/13 |
Keywords
- automated trading
- high frequency trading
- behavioural economics
- financial markets
- financial trading
Fingerprint Dive into the research topics of 'Evidencing the "robot phase transition" in experimental human-algorithmic markets'. Together they form a unique fingerprint.
Projects
- 2 Finished