Humans, Robots and Market Crashes: A Laboratory Study âˆ—
We introduce human traders into an agent based ï¬nancial market simulation prone to bubbles and crashes. We ï¬nd that human traders earn lower proï¬ts overall than do the simulated agents (â€œrobotsâ€) but earn higher proï¬ts in the most crash-intensive periods. Inexperienced human traders tend to destabilize the smaller (10 trader) mar- kets, but otherwise they have little impact on bubbles and crashes in larger (30 trader) markets and when they are more experienced. Humansâ€™ buying and selling choices respond to the payoï¬€ gradient in a manner similar to the robot algorithm. Likewise, following losses, humansâ€™ choices shift towards faster selling. There are problems in properly identifying fundamentalist and trend-following strategies in our data.
|Date of creation:||07 Oct 2008|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (831) 459-2743
Fax: (831) 459-5077
Web page: http://www.escholarship.org/repec/ucscecon/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- John Duffy, 2004.
"Agent-Based Models and Human Subject Experiments,"
- J. Doyne Farmer, 1999.
"Market Force, Ecology, and Evolution,"
Computing in Economics and Finance 1999
651, Society for Computational Economics.
- Garman, Mark B., 1976. "Market microstructure," Journal of Financial Economics, Elsevier, vol. 3(3), pages 257-275, June.
- Boswijk, H.P. & Hommes C.H. & Manzan, S., 2005.
"Behavioral Heterogeneity in Stock Prices,"
CeNDEF Working Papers
05-12, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Axelrod, Robert & Tesfatsion, Leigh, 2006. "A Guide for Newcomers to Agent-Based Modeling in the Social Sciences," Staff General Research Papers 12515, Iowa State University, Department of Economics.
- John Duffy & M. Ünver, 2006. "Asset price bubbles and crashes with near-zero-intelligence traders," Economic Theory, Springer, vol. 27(3), pages 537-563, 04.
When requesting a correction, please mention this item's handle: RePEc:cdl:ucscec:qt4kf382p6. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lisa Schiff)
If references are entirely missing, you can add them using this form.