Evidencing the “Robot Phase Transition” in Human-agent Experimental Financial Markets

John Cartlidge, Dave Cliff

2013

Abstract

Johnson, Zhao, Hunsader, Meng, Ravindar, Carran, and Tivnan (2012) recently suggested the existence of a phase transition in the dynamics of financial markets in which there is free interaction between human traders and algorithmic trading systems (‘robots’). Above a particular time-threshold, humans and robots trade with one another; below the threshold all transactions are robot-to-robot. We refer to this abrupt system transition as the ‘robot phase transition’. Here, we conduct controlled experiments where human traders interact with ‘robot’ trading agents in minimal models of electronic financial markets to see if correlates of the two regimes suggested by Johnson et al. (2012) occur in such laboratory conditions. Our results indicate that when trading robots act on a super-human timescale, the market starts to fragment, with statistically lower human-robot interactions than we would expect from a fully mixed market. We tentatively conclude that this is the first empirical evidence for the robot phase transition occurring under controlled experimental conditions.

Paper Citation

in Harvard Style

Cartlidge J. and Cliff D. (2013). Evidencing the “Robot Phase Transition” in Human-agent Experimental Financial Markets . In Proceedings of the 5th International Conference on Agents and Artificial Intelligence - Volume 1: ICAART, ISBN 978-989-8565-38-9, pages 345-352. DOI: 10.5220/0004185603450352

in Bibtex Style

@conference{icaart13,
author={John Cartlidge and Dave Cliff},
title={Evidencing the “Robot Phase Transition” in Human-agent Experimental Financial Markets},
booktitle={Proceedings of the 5th International Conference on Agents and Artificial Intelligence - Volume 1: ICAART,},
year={2013},
pages={345-352},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0004185603450352},
isbn={978-989-8565-38-9},
}

in EndNote Style

TY - CONF
JO - Proceedings of the 5th International Conference on Agents and Artificial Intelligence - Volume 1: ICAART,
TI - Evidencing the “Robot Phase Transition” in Human-agent Experimental Financial Markets
SN - 978-989-8565-38-9
AU - Cartlidge J.
AU - Cliff D.
PY - 2013
SP - 345
EP - 352
DO - 10.5220/0004185603450352