IDEAS home Printed from https://ideas.repec.org/p/esi/discus/2003-22.html
   My bibliography  Save this paper

Interaction of Human and Artificial Agents on Double Auction Markets - Simulations and Laboratory Experiments

Author

Listed:
  • Carsten Schmidt
  • Jens Grossklags

Abstract

This paper provides an overview on the simulations and experiments we have done in order to better understand human-agent interaction in a market environment. We find that the introduction of software agents does not necessarily induce a more efficient market. More surprisingly, information on the existence of software agents in the market environment results in more efficient behavior of human traders.

Suggested Citation

  • 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.
    • Handle: RePEc:esi:discus:2003-22
    as

    Download full text from publisher

    File URL: ftp://papers.econ.mpg.de/esi/discussionpapers/2003-22.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. 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.
    2. Vernon L. Smith, 1962. "An Experimental Study of Competitive Market Behavior," Journal of Political Economy, University of Chicago Press, vol. 70(3), pages 322-322.
    3. Alvin E. Roth & Axel Ockenfels, 2002. "Last-Minute Bidding and the Rules for Ending Second-Price Auctions: Evidence from eBay and Amazon Auctions on the Internet," American Economic Review, American Economic Association, vol. 92(4), pages 1093-1103, September.
    4. Gjerstad, Steven & Dickhaut, John, 1998. "Price Formation in Double Auctions," Games and Economic Behavior, Elsevier, vol. 22(1), pages 1-29, January.
    5. Abreu, Dilip & Rubinstein, Ariel, 1988. "The Structure of Nash Equilibrium in Repeated Games with Finite Automata," Econometrica, Econometric Society, vol. 56(6), pages 1259-1281, November.
    6. Axel Ockenfels & Alvin E. Roth, 2001. "The Timing of Bids in Internet Auctions: Market Design, Bidder Behavior, and Artificial Agents," Papers on Strategic Interaction 2002-33, Max Planck Institute of Economics, Strategic Interaction Group.
    7. Leland, Hayne & Rubinstein, Mark, 1988. "Comments on the Market Crash: Six Months After," Journal of Economic Perspectives, American Economic Association, vol. 2(3), pages 45-50, Summer.
    8. Forsythe, Robert & Forrest Nelson & George R. Neumann & Jack Wright, 1992. "Anatomy of an Experimental Political Stock Market," American Economic Review, American Economic Association, vol. 82(5), pages 1142-1161, December.
    9. Rust, John & Miller, John H. & Palmer, Richard, 1994. "Characterizing effective trading strategies : Insights from a computerized double auction tournament," Journal of Economic Dynamics and Control, Elsevier, vol. 18(1), pages 61-96, January.
    10. Reinhard Selten & Michael Mitzkewitz & Gerald R. Uhlich, 1997. "Duopoly Strategies Programmed by Experienced Players," Econometrica, Econometric Society, vol. 65(3), pages 517-556, May.
    11. 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.
    12. Forsythe, Robert & Rietz, Thomas A. & Ross, Thomas W., 1999. "Wishes, expectations and actions: a survey on price formation in election stock markets," Journal of Economic Behavior & Organization, Elsevier, vol. 39(1), pages 83-110, May.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Shu-Heng Chen & Chung-Ching Tai, 2006. "On the Selection of Adaptive Algorithms in ABM: A Computational-Equivalence Approach," Computational Economics, Springer;Society for Computational Economics, vol. 28(1), pages 51-69, August.
    2. Shu-Heng Chen & Chung-Ching Tai, 2006. "Republication: On the Selection of Adaptive Algorithms in ABM: A Computational-Equivalence Approach," Computational Economics, Springer;Society for Computational Economics, vol. 28(4), pages 313-331, November.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. 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.
    2. Tai, Chung-Ching & Chen, Shu-Heng & Yang, Lee-Xieng, 2018. "Cognitive ability and earnings performance: Evidence from double auction market experiments," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 409-440.
    3. Brewer, Paul & Ratan, Anmol, 2019. "Profitability, efficiency, and inequality in double auction markets with snipers," Journal of Economic Behavior & Organization, Elsevier, vol. 164(C), pages 486-499.
    4. Henry Hanifan & Ben Watson & John Cartlidge & Dave Cliff, 2021. "Time Matters: Exploring the Effects of Urgency and Reaction Speed in Automated Traders," Papers 2103.00600, arXiv.org.
    5. Shu-Heng Chen & Chung-Ching Tai, 2006. "Republication: On the Selection of Adaptive Algorithms in ABM: A Computational-Equivalence Approach," Computational Economics, Springer;Society for Computational Economics, vol. 28(4), pages 313-331, November.
    6. Duffy, John, 2006. "Agent-Based Models and Human Subject Experiments," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 19, pages 949-1011, Elsevier.
    7. Shu-Heng Chen & Chung-Ching Tai, 2006. "On the Selection of Adaptive Algorithms in ABM: A Computational-Equivalence Approach," Computational Economics, Springer;Society for Computational Economics, vol. 28(1), pages 51-69, August.
    8. Te Bao & Elizaveta Nekrasova & Tibor Neugebauer & Yohanes E. Riyanto, 2022. "Algorithmic trading in experimental markets with human traders: A literature survey," Chapters, in: Sascha Füllbrunn & Ernan Haruvy (ed.), Handbook of Experimental Finance, chapter 23, pages 302-322, Edward Elgar Publishing.
    9. Charles R. Plott, 2000. "Markets as Information Gathering Tools," Southern Economic Journal, John Wiley & Sons, vol. 67(1), pages 1-15, July.
    10. Zhan, Wenjie & Friedman, Daniel, 2007. "Markups in double auction markets," Journal of Economic Dynamics and Control, Elsevier, vol. 31(9), pages 2984-3005, September.
    11. Berg, Joyce E. & Rietz, Thomas A., 2019. "Longshots, overconfidence and efficiency on the Iowa Electronic Market," International Journal of Forecasting, Elsevier, vol. 35(1), pages 271-287.
    12. Itzhak Rasooly, 2022. "Competitive equilibrium and the double auction," Economics Series Working Papers 974, University of Oxford, Department of Economics.
    13. 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.
    14. Sabiou M. Inoua & Vernon L. Smith, 2022. "Perishable goods versus re-tradable assets: A theoretical reappraisal of a fundamental dichotomy," Chapters, in: Sascha Füllbrunn & Ernan Haruvy (ed.), Handbook of Experimental Finance, chapter 15, pages 162-171, Edward Elgar Publishing.
    15. Martin Spann & Bernd Skiera, 2003. "Internet-Based Virtual Stock Markets for Business Forecasting," Management Science, INFORMS, vol. 49(10), pages 1310-1326, October.
    16. Aaron Wray & Matthew Meades & Dave Cliff, 2020. "Automated Creation of a High-Performing Algorithmic Trader via Deep Learning on Level-2 Limit Order Book Data," Papers 2012.00821, arXiv.org.
    17. Zhang, Junhuan, 2018. "Influence of individual rationality on continuous double auction markets with networked traders," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 495(C), pages 353-392.
    18. Jakob Grazzini, 2013. "Information dissemination in an experimentally based agent-based stock market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 8(1), pages 179-209, April.
    19. Dave Cliff, 2024. "Parameterised response zero intelligence traders," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 19(3), pages 439-492, July.
    20. Gjerstad, Steven & Dickhaut, John, 1998. "Price Formation in Double Auctions," Games and Economic Behavior, Elsevier, vol. 22(1), pages 1-29, January.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:esi:discus:2003-22. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Karin Richter (email available below). General contact details of provider: https://edirc.repec.org/data/mpiewde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.