人类掌管交易机器人：首次实验

IF 5.6 2区经济学 Q1 BUSINESS, FINANCE

Review of Finance Pub Date : 2024-03-15 DOI:10.1093/rof/rfae007

Elena Asparouhova, Peter Bossaerts, Xiaoqin Cai, Kristian Rotaru, Nitin Yadav, Wenhao Yang

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引用次数: 0

摘要

我们介绍了一项实验的结果，在这项实验中，参与者可以使用自动交易算法，他们可以随意部署这些算法，同时仍然进行人工交易。实验的不同之处在于，机器人是不能停止交易、必须部署、还是可以停止交易并随意更换。我们假设机器人交易会减少错误定价，而且随着承诺程度的增加，效果会更加明显。然而，与纯手工交易相比，我们观察到了同样严重和频繁的错误定价，而且在早期交易中，买卖价差明显增大，闪崩/价格飙升更加频繁。如果参与者同时使用机器人和人工交易，他们就能获得更多收益。与档案数据中的证据相比，我们发现流动性承接机器人的使用率明显更高。我们将此归因于在现场，当流动性承接者碰巧不交易时，无法识别他们的存在。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Humans in Charge of Trading Robots: The First Experiment

We present results from an experiment where participants have access to automated trading algorithms, which they may deploy at will while still trading manually. Treatments differ in whether robots must not be halted, deployment is compulsory, or robots can be halted and replaced at will. We hypothesize that robot trading would reduce mispricing, and that the effect would be more pronounced as commitment degree increases. Yet, compared to manual trading only, we observe equally large and frequent mispricing and, in early trading, significantly higher bid-ask spreads and more frequent flash crashes/price surges. Participants earn more provided they combine robot and manual trading. Compared to evidence from archival data, we find significantly higher use of liquidity-taking robots. We attribute this to the inability, in the field, to identify the presence of liquidity takers when they happen not to trade.

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来源期刊

Review of Finance Multiple-

CiteScore

7.80

自引率

2.30%

发文量

期刊介绍： The Review of Finance, the official journal of the European Finance Association, aims at a wide circulation and visibility in the finance profession. The journal publishes high-quality papers in all areas of financial economics, both established and newly developing fields: • •Asset pricing •Corporate finance •Banking and market microstructure •Law and finance •Behavioral finance •Experimental finance Review of Finance occasionally publishes special issues on timely topics, including selected papers presented at the meetings of the European Finance Association or at other selected conferences in the field.