Artificial software agents on thin double auction markets - A human trader experiment

Proceedings - IEEE/WIC International Conference on Intelligent Agent Technology, IAT'03

Volumn , Issue , 2003, Pages 400-410

  Grossklags, Jens ^a   Schmidt, Carsten ^b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b MAX PLANCK INSTITUTE FOR THE SCIENCE OF HUMAN HISTORY   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

COMMON KNOWLEDGE; DOUBLE AUCTION; HUMAN SUBJECTS; INFORMATION TREATMENT; MARKET BEHAVIOR; MARKET EFFICIENCY; MARKET PRICE;

BEHAVIORAL RESEARCH; COMMERCE; EXPERIMENTS;

SOFTWARE AGENTS;

EID: 44149113363     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (34)

1. Dilip Abreu and Ariel Rubinstein (1988) "The Structure of Nash Equilibrium in Repeated Games with Finite Automata", Econometrica, 56(6): 259-1281.
2. Jasmina Arifovic (1996) "The behavior of the exchange rate in the genetic algorithm and experimental Economies", The Journal of Political Economy, 104(3): 510-541. (Pubitemid 27071060)
3. Andrea Beltratti, Sergio Margarita and Pietro Terna (1996) Neural Networks for Economic and Financial Modeling, International Thomson Computer Press, London, UK.
4. Dave Cliff and Janet Bruten (1997) "Minimal-intelligence agents for bargaining behaviors in market-based environments", HP Labs Technical Reports HPL 97-91, Hewlett-Packard Laboratories, Bristol, England.
5. Thomas E. Copeland and Daniel Friedman (1991) "Partial Revelation of Information in Exp erimental Asset Markets", Journal of Finance, 46(1): 265-295.
6. Rajarshi Das, James E. Hanson, Jeffrey O. Kephart and Gerald Tesauro (2001) "Agent-Human Interactions in the Continuous Double Auction", in Bernhard Nebel (Ed.) Proceedings of the Seventeenth International Joint Conference on Artificial Intelligence, IJCAI 2001, Seattle, Washington, USA August 4-10, 2001, Volume 2, Morgan Kaufmann Publishers, San Francisco, CA, 1169-1187.
7. Robert Forsythe and Russell Lundholm (1990) "Information Aggregation in an Experimental Market", Econometrica, 58(2): 309-347.
8. Robert Forsythe, Forrest Nelson, George R. Neumann and Jack Wright (1992) "Anatomy of an Experimental Political Stock Market", American Economic Review, 82(5): 1142-1161.
9. Robert Forsythe, Thomas A. Rietz and Thomas W. Ross (1999) "Wishes, expectations and actions: a survey on price formation in election stock markets", Journal of Economic Behavior & Organization, 39(1): 83-110.
10. Daniel Friedman (1984) "On the efficiency of Experimental Double Auction Markets", American Economic Review, 74(1): 60-72.
11. Daniel Friedman (1993) "The Double Auction Market Institution: A Survey", in Friedman, D. and Rust, J. (Eds.) The Double Auction Market - Institutions, Theories, and Evidence, Santa Fe Institute studies in sciences of complexity 14, Addison-Wesley, 3-25.
12. Gerard Gennotte and Hayne Leland (1990) "Market Liquidity, Hedging, and Crashes", American Economic Review, 80(5): 999-1021.
13. Steven Gjerstad and John Dickhaut (1998) "Price Formation in Double Auctions", Games and Economic Behavior, 22(1): 1-29.
14. Dhananjay K. Gode and Shyam Sunder (1993) "Allocative Efficiency of Markets with Zero-Intelligence Traders: Market as a Partial Substitute for Individual Rationality", The Journal of Political Economy, 101(1): 119-137.
15. Jens Grossklags, Carsten Schmidt and Jonathan Siegel (2000) "Dumb software agents on experimental electronic markets" in Gesellschaft für Informatik e.V. (eds.), Informatiktage 2000, Konradin Verlag, Leinfelden-Echterdingen, Germany.
16. Jens Grossklags and Carsten Schmidt (2002) "Artificial Software Agents on Thin Double Auction Markets - A Human Trader Experiment", Discussion Papers on Strategic Interaction 2002-45, Max Planck Institute for Research into Economic Systems, Jena, Germany.
17. Robert H. Guttman, Alexandros G. Moukas and Pattie Maes (1998) "Agent-mediated Electronic Commerce: A Survey", The Knowledge Engineering Review, 13(2): 147-159.
18. Jan Hansen, Carsten Schmidt and Martin Strobel (forthcoming) "Manipulation in Political Stock Markets - Preconditions and Evidence", Applied Economics Letters.
19. Hayne Leland and Mark Rubinstein (1988) "Comments on the Market Crash: Six Months After", Journal of Economic Perspectives, 2(3), (Summer 1988): 45-50.
20. Martin Lettau (1997) "Explaining the facts with adaptive agents: The case of mutual fund flows", Journal of Economic Dynamics and Control, 21(7): 1117-1148.
21. Axel Ockenfels and Alvin E. Roth (2002) "The Timing of Bids in Internet Auctions: Market Design, Bidder Behavior, and Artificial Agents", Artificial Intelligence Magazine, (Fall 2002): 79-87.
22. Steven P. Peterson (1993) "Forecasting Dynamics and Convergence to Market Fundamentals. Evidence from Experimental Asset Markets", Journal of Economic Behavior and Organization, 22(3): 269-284.
23. Charles R. Plott and Shyam Sunder (1988) "Rational Expectations and the Aggregation of Diverse Information in Laboratory Security Markets", Econometrica, 56(5): 1085-1118.
24. Alvin E. Roth and Axel Ockenfels (2002) "Last Minute Bidding and the Rules for Ending Second Price Auctions: Evidence from eBay and Amazon Auctions on the Internet", American Economic Review, 92(4): 1093-1103.
25. Bryan R. Routledge (1994) "Artificial selection: genetic algorithms and learning in a rational expectations model", GSIA Technical Report 1997-47, Graduate School of Industrial Administration, Carnegie Mellon University, Pittsburgh.
26. John Rust, John H. Miller and Richard Palmer (1994) "Characterizing effective trading strategies. Insights from a computerized double auction tournament", Journal of Economic Dynamics and Control, 18(1): 61-96.
27. Carsten Schmidt and Axel Werwatz (2002) "How well do markets predict the outcome of an event? The Euro 2000 soccer championships experiment", Discussion Papers on Strategic Interaction 2002-9, Max Planck Institute for Research into Economic Systems, Jena, Germany.
28. Reinhard Selten, Michael Mitzkewitz and Gerald R. Uhlich (1997) "Duopoly Strategies Programmed by Experienced Players", Econometrica, 65(3): 517-555.
29. Vernon L. Smith (1962) "An Experimental Study of Competitive Market Behavior", The Journal of Political Economy, 70(2): 111-137.
30. Vernon L. Smith, Gerry L. Suchanek and Arlington W. Williams (1988) "Bubbles, Crashes, and Endogenous Expectations in Experimental Spot Asset Markets", Econometrica, 56(5): 1119-1151.
31. Hal R. Varian (1995) "Economic mechanism design for computerized agents", in Proceedings of USENIX Workshop on Electronic Commerce, New York.
32. Hal R. Varian (1998) "Effect of the Internet on Financial Markets", School of Information Management and Systems, University of California, Berkeley.
33. Michael P. Wellman, Peter R. Wurman, Kevin O'Malley, Roshan Bangera, Shou-de Lin, Daniel Reeves and William E. Walsh (2001) "Designing the market game for a trading agent competition", IEEE Internet Computing, 5(2): 43-51. (Pubitemid 32380528)
34. Michael P. Wellman, Amy Greenwald, Peter Stone and Peter R. Wurman (2002) "The 2001 Trading Agent Competition", in Proceedings of the Eighteenth National Conference on Artificial Intelligence and the Fourteenth Annual Conference on Innovative Applications of Artificial Intelligence, Innovative Applications of Artificial Intelligence (IAAI) Papers, Edmonton, Canada, AAAI Press, Menlo Park, CA, 935-941.