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Bubbles in hybrid markets: How expectations about algorithmic trading affect human trading
Linnaeus University, Faculty of Social Sciences, Department of Social Studies.ORCID iD: 0000-0002-0882-4851
University of Jena, Germany.
2018 (English)In: Journal of Economic Behavior and Organization, ISSN 0167-2681, E-ISSN 1879-1751, Vol. 146, p. 248-269Article in journal (Refereed) Published
Abstract [en]

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.

Place, publisher, year, edition, pages
Elsevier, 2018. Vol. 146, p. 248-269
Keywords [en]
Bubbles, Expectations, Experiment, Algorithmic traders
National Category
Economics Psychology (excluding Applied Psychology)
Research subject
Economy, Economics; Social Sciences, Psychology
Identifiers
URN: urn:nbn:se:lnu:diva-69139DOI: 10.1016/j.jebo.2017.11.011ISI: 000426331300014OAI: oai:DiVA.org:lnu-69139DiVA, id: diva2:1164102
Available from: 2017-12-09 Created: 2017-12-09 Last updated: 2018-03-16Bibliographically approved

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Farjam, Mike

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf