Trader Performance in a Market Experiment with Human and Computerized Traders

Schmalenbach Business Review - Tập 66 - Trang 224-244 - 2017
Martin Angerer1, Jürgen Huber2, Michael Kirchler2,3
1Institute for Financial Services, University of Liechtenstein, Vaduz, Liechtenstein
2Department of Banking and Finance, University of Innsbruck, Innsbruck, Austria
3Department of Economics, Centre for Finance, University of Gothenburg, Sweden

Tóm tắt

We use computerized agents, which trade according to an active information processing strategy, to compare their returns to those of human subjects trading in the same market. All subjects are assigned to one of five information levels, each of which is populated by two human and two computerized traders. We find that the computerized traders earn higher returns than their human counterparts of the same information level for all but one of five information levels.

Tài liệu tham khảo

Bloomfield, Robert and Maureen O’Hara (1999), Market Transparency: Who Wins and Who Loses?, The Review of Financial Studies 12 (1), 5–35. Diamond, Douglas W. and Robert E. Verrecchia (1981), Information Aggregation in a Noisy Rational Expectations Economy, Journal of Financial Economics 9, 221–235. Dufwenberg, Martin, Tobias Lindqvist, and Evan Moore (2005), Bubbles and Experience: An Experiment, The American Economic Review 95 (5), 1731–1737. Fama, Eugene F. (1970), Efficient Capital Markets: A Review of Theory and Empirical Work, The Journal of Finance 25 (2), 383–417. Fischbacher, Urs (2007), Z-Tree: Zurich Toolbox for Ready-Made Economic Experiments, Experimental Economics 10 (2), 171–178. Glosten, Lawrence R. and Paul R. Milgrom (1985), Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders, Journal of Financial Economics 14, 71–100. Greiner, Ben (2004), An Online Recruitment System for Economic Experiments, in Kurt Kremer and Volker Macho (eds.), Forschung und wissenschafliches Rechnen 2003. GWDG Bericht 63, Goettingen: Gesellschaft für Wiss. Datenverarbeitung, 79–93. Grossman, Sanford J. (1976), On the Efficiency of Competitive Stock Markets where Traders Have Diverse Information, Journal of Finance 31, 573–585. Grossman, Sanford J. and Joseph E. Stiglitz (1980), On the Impossibility of Informationally Efficient Markets, The American Economic Review 70, 393–408. Haruvy, Ernan and Charles N. Noussair (2006), The Effect of Short Selling on Bubbles and Crashes in Experimental Spot Asset Markets, The Journal of Finance 61 (3), 1119–1157. Hauser, Florian and Bob Kaempff (2011), Evolution of Trading Strategies in a Market with Heterogeneously Informed Agents, Journal of Evolutionary Economics, Online First, DOI 10.1007/s00191-011-0232p6. Hauser, Florian and Bob Kaempff (2010), Trading on Marginal Information, Progress in Artificial Economics — Computational and Agent-Based Models, Lecture Notes in Economics and Mathematical Systems. Springer 645, 15–24. Hayek, Friedrich A. (1945), The Use of Knowledge in Society, The American Economic Review 35 (4), 519–530. Hirshleifer, David (2001), Investor Psychology and Asset Pricing, Journal of Finance 56, 1533–1597. Hommes, Cars (2006), Heterogeneous Agent Models in Economics and Finance, Handbook of Computational Economics 2, 1109–1186. Huber, Jürgen (2007), “J”-Shaped Returns to Timing Advantage in Access to Information — Experimental Evidence and a Tentative Explanation, Journal of Economic Dynamics and Control 31, 2536–2572. Huber, Jürgen and Michael Kirchler (2012), The Impact of Instructions and Procedure on Reducing Confusion and Bubbles in Experimental Asset Market, Experimental Economics 15, 89–105. Huber, Jürgen, Martin Angerer, and Michael Kirchler (2010), Experimental Asset Markets with Endogenous Choice of Costly Information, Experimental Economics 14, 223–240. Huber, Jürgen, Michael Kirchler, and Matthias Sutter (2008), Is More Information Always Better? Experimental Financial Markets with Cumulative Information, Journal of Economic Behavior & Organization 65, 86–104. Huber, Jürgen, Michael Kirchler, and Matthias Sutter (2006), Vom Nutzen zusätzlicher Information auf Märkten mit unterschiedlich informierten Händlern — Eine experimentelle Studie, Schmalenbachs Zeitschrift für betriebswirtschaftliche Forschung 58, 188–211. Jeng, Lesley A., Andrew Metrick, and Richard Zeckhauser (2003), Estimating the Returns to Insider Trading, a Performance-Evaluation Perspective, Review of Economics and Statistics 85, 453–471. Kirchler, Michael (2010), Partial Knowledge is a Dangerous Thing — On the Value of Asymmetric Fundamental Information in Asset Markets, Journal of Economic Psychology 21, 643–658. Kirchler, Michael, Jürgen Huber, and Thomas Stoeckl (2012), Thar She Bursts — Reducing Confusion Reduces Bubbles, The American Economic Review 102 (2), 865–883. Lakonishok, Josef and Inmoo Lee (2001), Are Insiders’ Trades Informative?, Review of Financial Studies 14, 79–111. Lin, Ji-Chai and John S. Howe (1990), Insider Trading in the OTC Market, Journal of Finance 45, 173–1284. Lux, Thomas (1998), The Socio-Economic Dynamics of Speculative Markets, Interacting Agents, Chaos, and the Fat Tails of Return Distributions, Journal of Economic Behavior and Organization 33, 143–165. Lux, Thomas and Michele Marchesi (2000), Volatility Clustering in Financial Markets, a Microsimulation of Interacting Agents, International Journal of Theoretical and Applied Finance 3, 675–702. Mannaro, Katiuscia, Michele Marchesi, and Alessio Setzu (2008), Using an Artificial Financial Market for Assessing the Impact of Tobin-Like Transaction Taxes, Journal of Economic Behavior and Organization 67, 445–462. Noussair, Charles N. and Owen Powell (2010), Peaks and Valleys: Price Discovery in Experimental Asset Markets with Non-Monotonic Fundamentals, Journal of Economic Studies 37 (2), 152–180. Pfeifer, Christian, Klaus Schredelseker, and Gilg U.H. Seeber (2009), On the Negative Value of Information in Informationally Inefficient Markets: Calculations for Large Number of Traders, European Journal of Operational Research 195, 117–126. Porter, David P. and Vernon L. Smith (1995), Futures Contracting and Dividend Uncertainty in Experimental Asset Markets, The Journal of Business 68 (4), 509–541. Schredelseker, Klaus (1984), Anlagestrategie und Informationsnutzen am Aktienmarkt, Schmalenbachs Zeitschrift für betriebswirtschaftliche Forschung 36, 44–59. Schredelseker, Klaus (2001), Is the Usefulness Approach Useful? Some Reflections on the Utility of Public Information, in Stuart McLeay and Angelo Riccaboni (eds.), Contemporary Issues in Accounting Regulation, Kluwer Academic Publishers, 135–153. Shiller, Robert J. (2003), From Efficient Markets Theory to Behavioral Finance, Journal of Economic Perspectives 17, 83–104. Smith, Vernon L., Gerry L. Suchanek, and Arlington W. Williams (1988), Bubbles, Crashes, and Endogenous Expectations in Experimental Spot Asset Markets, Econometrica 56 (5), 1119–1151. Sutter, Matthias, Jürgen Huber, and Michael Kirchler (2012), Bubbles and Information: An Experiment, Management Science 58, 384–393. Sunder, Shyam (1992), Market for Information: Experimental Evidence, Econometrica 60, 667–695.