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Software agents and market (in) efficiency: a human trader experiment

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2 Author(s)
J. Grossklags ; Sch. of Inf. Manage., Univ. of California, Berkeley, CA, USA ; C. Schmidt

This paper studies how software agents influence the market behavior of human traders. Software agents with a passive arbitrage-seeking strategy are introduced in a double auction market experiment with human subjects in the laboratory. As a treatment variable, the influence of information on the existence of software agents is investigated. We found that common knowledge about the presence of software agents triggers more efficient market prices when the programmed strategy was employed, whereas an effect of the information condition on behavioral variables could not be observed. When controlling for information on software agents' participation, the introduction of software agents results in lower market efficiency

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IEEE Transactions on Systems, Man, and Cybernetics, Part C (Applications and Reviews)  (Volume:36 ,  Issue: 1 )