TY - JOUR
T1 - Software agents and market (In) efficiency
T2 - A human trader experiment
AU - Grossklags, Jens
AU - Schmidt, Carsten
N1 - Funding Information:
Manuscript received February 1, 2004; revised October 21, 2004. The financial support of the Max-Planck Society is gratefully acknowledged. J. Grossklags is with the School of Information Management at the University of California, Berkeley, CA 94720 USA (e-mail: [email protected]). C. Schmidt is with the Sonderforschungsbereich 504, University of Mannheim, L13 15, 68131 Mannheim, Germany (e-mail: cschmidt@sfb504. uni-mannheim.de). Digital Object Identifier 10.1109/TSMCC.2006.860575 1www.esnipe.com, www.auctionblitz.com
PY - 2006/1
Y1 - 2006/1
N2 - This paper studies how software agents influence the market behavior of human traders. Software agents with a passive arbitrage-seeking strategy are introduced in a double auction market experiment with human subjects in the laboratory. As a treatment variable, the influence of information on the existence of software agents is investigated. We found that common knowledge about the presence of software agents triggers more efficient market prices when the programmed strategy was employed, whereas an effect of the information condition on behavioral variables could not be observed. When controlling for information on software agents' participation, the introduction of software agents results in lower market efficiency.
AB - This paper studies how software agents influence the market behavior of human traders. Software agents with a passive arbitrage-seeking strategy are introduced in a double auction market experiment with human subjects in the laboratory. As a treatment variable, the influence of information on the existence of software agents is investigated. We found that common knowledge about the presence of software agents triggers more efficient market prices when the programmed strategy was employed, whereas an effect of the information condition on behavioral variables could not be observed. When controlling for information on software agents' participation, the introduction of software agents results in lower market efficiency.
KW - Artificial trading agent and human traders
KW - Double auction
KW - Electronic market
KW - Experimental economics
UR - http://www.scopus.com/inward/record.url?scp=33644894452&partnerID=8YFLogxK
U2 - 10.1109/TSMCC.2005.860575
DO - 10.1109/TSMCC.2005.860575
M3 - Article
AN - SCOPUS:33644894452
SN - 1094-6977
VL - 36
SP - 56
EP - 67
JO - IEEE Transactions on Systems, Man and Cybernetics Part C: Applications and Reviews
JF - IEEE Transactions on Systems, Man and Cybernetics Part C: Applications and Reviews
IS - 1
ER -