loading
Documents

Research.Publish.Connect.

Paper

Paper Unlock

Authors: John Cartlidge and Dave Cliff

Affiliation: University of Bristol, United Kingdom

ISBN: 978-989-8565-38-9

Keyword(s): Software Agents, Financial Markets, Algorithmic Trading, High-frequency Trading, Computational Finance.

Related Ontology Subjects/Areas/Topics: Agents ; Artificial Intelligence ; Artificial Intelligence and Decision Support Systems ; Auctions and Markets ; Distributed and Mobile Software Systems ; Economic Agent Models ; Enterprise Information Systems ; Knowledge Engineering and Ontology Development ; Knowledge-Based Systems ; Multi-Agent Systems ; Software Engineering ; Symbolic Systems

Abstract: Johnson, Zhao, Hunsader, Meng, Ravindar, Carran, and Tivnan (2012) recently suggested the existence of a phase transition in the dynamics of financial markets in which there is free interaction between human traders and algorithmic trading systems (‘robots’). Above a particular time-threshold, humans and robots trade with one another; below the threshold all transactions are robot-to-robot. We refer to this abrupt system transition as the ‘robot phase transition’. Here, we conduct controlled experiments where human traders interact with ‘robot’ trading agents in minimal models of electronic financial markets to see if correlates of the two regimes suggested by Johnson et al. (2012) occur in such laboratory conditions. Our results indicate that when trading robots act on a super-human timescale, the market starts to fragment, with statistically lower human-robot interactions than we would expect from a fully mixed market. We tentatively conclude that this is the first empirical evidenc e for the robot phase transition occurring under controlled experimental conditions. (More)

PDF ImageFull Text

Download
Sign In Guest: Register as new SciTePress user now for free.

Sign In SciTePress user: please login.

PDF ImageMy Papers

You are not signed in, therefore limits apply to your IP address 3.80.218.53

In the current month:
Recent papers: 100 available of 100 total
2+ years older papers: 200 available of 200 total

Paper citation in several formats:
Cartlidge J. and Cliff D. (2013). Evidencing the “Robot Phase Transition” in Human-agent Experimental Financial Markets.In Proceedings of the 5th International Conference on Agents and Artificial Intelligence - Volume 1: ICAART, ISBN 978-989-8565-38-9, pages 345-352. DOI: 10.5220/0004185603450352

@conference{icaart13,
author={John Cartlidge and Dave Cliff},
title={Evidencing the “Robot Phase Transition” in Human-agent Experimental Financial Markets},
booktitle={Proceedings of the 5th International Conference on Agents and Artificial Intelligence - Volume 1: ICAART,},
year={2013},
pages={345-352},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0004185603450352},
isbn={978-989-8565-38-9},
}

TY - CONF

JO - Proceedings of the 5th International Conference on Agents and Artificial Intelligence - Volume 1: ICAART,
TI - Evidencing the “Robot Phase Transition” in Human-agent Experimental Financial Markets
SN - 978-989-8565-38-9
AU - Cartlidge J.
AU - Cliff D.
PY - 2013
SP - 345
EP - 352
DO - 10.5220/0004185603450352

Login or register to post comments.

Comments on this Paper: Be the first to review this paper.