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Authors: John Cartlidge and Dave Cliff

Affiliation: University of Bristol, United Kingdom

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 eviden ce for the robot phase transition occurring under controlled experimental conditions. (More)

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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; ISSN 2184-433X, SciTePress, 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},
issn={2184-433X},
}

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
IS - 2184-433X
AU - Cartlidge, J.
AU - Cliff, D.
PY - 2013
SP - 345
EP - 352
DO - 10.5220/0004185603450352
PB - SciTePress