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Dumb software agents on an experimental asset market

Author

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  • Großklags, Jens
  • Schmidt, Carsten
  • Siegel, Jonathan

Abstract

We have analyzed the impact of agents and their trading strategies on an experimental electronic market. Therefore, we added an XML-interface to an existing electronic market and implemented artificial agents which acted as elements of disturbance in the trading process. These artificial traders applied simple and constant strategies which may sometimes appear to be rational or random to the eyes of other traders. We then stepped back and recorded the reaction of the electronic market.

Suggested Citation

  • Großklags, Jens & Schmidt, Carsten & Siegel, Jonathan, 2000. "Dumb software agents on an experimental asset market," SFB 373 Discussion Papers 2000,96, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  • Handle: RePEc:zbw:sfb373:200096
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    References listed on IDEAS

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    1. Sunder, S., 1992. "Lower Bounds for Efficiency of Surplus Extraction in Double Auctions," GSIA Working Papers 1992-17, Carnegie Mellon University, Tepper School of Business.
    2. Ken Binmore & Nir Vulkan, 1999. "Applying game theory to automated negotiation," Netnomics, Springer, vol. 1(1), pages 1-9, October.
    3. Smith, Vernon L, 1976. "Experimental Economics: Induced Value Theory," American Economic Review, American Economic Association, vol. 66(2), pages 274-279, May.
    4. Gode, Dhananjay K & Sunder, Shyam, 1993. "Allocative Efficiency of Markets with Zero-Intelligence Traders: Market as a Partial Substitute for Individual Rationality," Journal of Political Economy, University of Chicago Press, vol. 101(1), pages 119-137, February.
    5. Reinhard Selten & Michael Mitzkewitz & Gerald R. Uhlich, 1997. "Duopoly Strategies Programmed by Experienced Players," Econometrica, Econometric Society, vol. 65(3), pages 517-556, May.
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    Cited by:

    1. Sergiy Gerasymchuk, 2008. "Asset return and wealth dynamics with reference dependent preferences and heterogeneous beliefs," Working Papers 160, Department of Applied Mathematics, Università Ca' Foscari Venezia.
    2. Valentyn Panchenko & Sergiy Gerasymchuk & Oleg V. Pavlov, 2007. "Asset price dynamics with small world interactions under hetereogeneous beliefs," Working Papers 149, Department of Applied Mathematics, Università Ca' Foscari Venezia.
    3. Carsten Schmidt & Jens Grossklags, 2004. "Interaction of Human and Artificial Agents on Double Auction Markets - Simulations and Laboratory Experiments," Papers on Strategic Interaction 2003-22, Max Planck Institute of Economics, Strategic Interaction Group.
    4. Jens Grossklags & Carsten Schmidt, 2002. "Artificial Software Agents on Thin Double Auction Markets - A Human Trader Experiment," Papers on Strategic Interaction 2002-45, Max Planck Institute of Economics, Strategic Interaction Group.

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    Keywords

    XML; double auction; negotiation;

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