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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/64514
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| Title: | | Humans, robots and market crashes: A laboratory study  |
| Authors: | | Feldman, Todd Friedman, Daniel |
| Issue Date: | | 2008 |
| Series/Report no.: | | Working Papers, UC Santa Cruz Economics Department 645 |
| Abstract: | | We introduce human traders into an agent based financial market simulation prone to bubbles and crashes. We find that human traders earn lower profits overall than do the simulated agents (robots) but earn higher profits in the most crash-intensive periods. Inexperienced human traders tend to destabilize the smaller (10 trader) markets, but otherwise they have little impact on bubbles and crashes in larger (30 trader) markets and when they are more experienced. Humans' buying and selling choices respond to the payoff gradient in a manner similar to the robot algorithm. Likewise, following losses, humans' choices shift towards faster selling. There are problems in properly identifying fundamentalist and trend-following strategies in our data. |
| Subjects: | | financial markets agent-based models experimental economics |
| JEL: | | C63 C91 D53 G10 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Working Papers, Economics Department, UC Santa Cruz
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