![]() Neugebauer, Tibor ![]() ![]() in HANDBOOK OF EXPERIMENTAL FINANCE (in press) This chapter surveys the nascent experimental research on the interaction between human and algorithmic (bot) traders in experimental markets. We first discuss studies in which algorithmic traders are in ... [more ▼] This chapter surveys the nascent experimental research on the interaction between human and algorithmic (bot) traders in experimental markets. We first discuss studies in which algorithmic traders are in the researcher’s hands. Specifically, the researcher assigns computer agents as traders in the market. We then followed it up by discussing studies in which the researcher allows human traders to decide whether to employ algorithms for trading or to trade by themselves. The paper introduces the types and performances of algorithmic traders that interact with human subjects in the laboratory, including zero-intelligent traders, arbitragers, fundamentalists, adaptive algorithms, and manipulators. We find that whether algorithm traders earn more profit than human traders crucially depends on the asset’s fundamental value process and the market environment. The potential impact of interactions with algorithms on the investor’s psychology is also discussed. [less ▲] Detailed reference viewed: 141 (17 UL)![]() Neugebauer, Tibor ![]() in Journal of Economic Behavior and Organization (2021) Detailed reference viewed: 139 (17 UL)![]() Neugebauer, Tibor ![]() in Management Science (2021) Detailed reference viewed: 129 (12 UL)![]() Neugebauer, Tibor ![]() in Games and Economic Behavior (2020), 124 Detailed reference viewed: 78 (2 UL)![]() Neugebauer, Tibor ![]() in Experimental Economics (2020), 23(4)(1002-1029), Detailed reference viewed: 204 (22 UL)![]() Neugebauer, Tibor ![]() in Journal of Financial and Quantitative Analysis (2019), 54(1) Detailed reference viewed: 149 (13 UL)![]() Neugebauer, Tibor ![]() in Journal of Economic Behavior and Organization (2019), (157), 209-224 Detailed reference viewed: 136 (12 UL)![]() ; Neugebauer, Tibor ![]() in Economic Inquiry (2019), 57(4), 2163-2183 Detailed reference viewed: 116 (6 UL)![]() Neugebauer, Tibor ![]() in Journal of Finance (2019), 74(1) Detailed reference viewed: 162 (11 UL)![]() Neugebauer, Tibor ![]() Scientific Conference (2018, November 28) We study the question if we can recover original traders’ price expectations in experimental asset markets if subjects receive the same pre-recorded information. Our results show reliable recovery of ... [more ▼] We study the question if we can recover original traders’ price expectations in experimental asset markets if subjects receive the same pre-recorded information. Our results show reliable recovery of original traders’ median expectations across treatments. Treatment comparison suggests no effect on beliefs of subjects’ action space, whether subjects trade, act as price takers or only observe the market. Our results also suggest that we are unable to recover the individual expectations beyond the median expectation. Hence, we confirm the advanced observation of the experimental literature that expectations are heterogeneous and markets do not homogenize beliefs. [less ▲] Detailed reference viewed: 74 (11 UL)![]() Neugebauer, Tibor ![]() E-print/Working paper (2018) Detailed reference viewed: 112 (11 UL)![]() Neugebauer, Tibor ![]() Scientific Conference (2018, March 14) Algorithmic robot trading involves computer programmes for placing orders in financial markets. More than half of all transactions in financial markets involve algorithm traders. Algorithm traders have ... [more ▼] Algorithmic robot trading involves computer programmes for placing orders in financial markets. More than half of all transactions in financial markets involve algorithm traders. Algorithm traders have been thought of being responsible for recently observed flash crashes, i.e. instances when the market crashes and instantly recovers. A common function of algorthmic trading is to profit from arbitrage, but little is known about the impacts of such trading algorithms in the market. By exploiting riskless arbitrage or statistical arbitrage in financial markets, arbitrage trading algorithms in theory instate efficiency and eventually establish no-arbitrage conditions in a market. A natural starting point for experimental finance research is the study of the impact of arbitrage bots in the market. The presentation introduces to algorithm trading, advanced results from the financial literature and recent results from experiments. [less ▲] Detailed reference viewed: 191 (8 UL)![]() Neugebauer, Tibor ![]() E-print/Working paper (2018) Modigliani and Miller (1958) show that a repackaging of asset return streams to equity and debt has no impact on the total market value of the firm if pricing is arbitrage-free. We test the empirical ... [more ▼] Modigliani and Miller (1958) show that a repackaging of asset return streams to equity and debt has no impact on the total market value of the firm if pricing is arbitrage-free. We test the empirical validity of this invariance theorem in experimental asset markets with simultaneous trading in two shares of perfectly-correlated returns. Our data support value invariance for assets of identical risks when returns are perfectly correlated. However, exploiting price discrepancies has risk when returns have the same expected value but are uncorrelated, and we find that the law of one price is violated in this case. Discrepancies shrink in consecutive markets, but seem to persist even with experienced traders. In markets where overall trader acuity is high, assets trade closer to parity. [less ▲] Detailed reference viewed: 65 (1 UL)![]() Neugebauer, Tibor ![]() Scientific Conference (2017) Detailed reference viewed: 45 (1 UL)![]() Neugebauer, Tibor ![]() in German Economic Review (2016), 17(3), Detailed reference viewed: 116 (3 UL)![]() ![]() Neugebauer, Tibor ![]() Scientific Conference (2015) Detailed reference viewed: 88 (0 UL)![]() ![]() Neugebauer, Tibor ![]() Scientific Conference (2015) Detailed reference viewed: 39 (1 UL)![]() Neugebauer, Tibor ![]() Presentation (2015) Detailed reference viewed: 35 (0 UL)![]() Neugebauer, Tibor ![]() Diverse speeches and writings (2015) Detailed reference viewed: 34 (1 UL) |
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