Comparison of the Behavior of Human and Robot Traders in a Computerized Double Auction Market

本项目进行了一系列人类双重拍卖市场实验，为在人工双重拍卖市场中竞争的“机器人交易员”锦标赛生成匹配数据集。双重拍卖市场是芝加哥期货交易所（Chicago Board of Trade）最近开发的AURORA电子双重拍卖市场的简化版。将对人类和机器人交易员的行为进行精确的比较。人类双重拍卖市场的现有实验数据不能直接与计算机化市场进行比较，因为后者将时间划分为离散的买卖和买卖步骤，并采用了一种新的制度设计，即芝加哥规则（Chicago Rules），该规则只允许最高未完成出价或最低未完成出价的持有者执行交易。该项目使用实验来研究芝加哥规则的影响，在一个交易间隔离散的市场中，周期长度变化的影响，以及对交易员可以传递和接收的信息的限制的后果。本研究的结果将改进实验方法和我们对广泛使用的市场制度的理解。通过将人类实验数据与计算机化机器人交易员比赛的结果相匹配，该项目将能够对“人工智能”代理在双拍卖市场中模仿人类交易员行为的能力进行强有力的测试。如果计算机模拟可以补充人体实验，这将大大增加实验的数量和类型，研究人员可以用来研究制度变化的影响。实验结果也应该为双重拍卖的表现提供新的见解。这一点很重要，因为双重拍卖是芝加哥交易所、纽约证券交易所以及世界各地许多其他证券和商品交易所采用的交易制度。

This project conducts a series of human double auction market experiments to generate a matching data set for a tournament of "robot traders" who compete in an artificial double auction market. The double auction market is a simplified version of the AURORA electronic double auction market recently developed by the Chicago Board of Trade. Precise comparisons will be made of the behavior of human and robot traders. Existing experimental data on human double auction markets are not directly comparable to the computerized market because the latter divides time into discrete bid-offer and buy-sell steps, and adopts a new institutional design, Chicago Rules, that allows only holders of the highest outstanding bid or lowest outstanding offer to execute transactions. The project uses the experiments to study the impact of Chicago rules, the effects of variations in period length in a market with discrete trading intervals, and the consequences of restrictions on the messages that can be transmitted and received by traders. The results of this research will improve experimental methods and our understanding of widely used market institutions. By matching human experimental data with the results from the tournament of computerized robot traders, the project will be able to provide strong tests of the ability of "artificially intelligent" agents to mimic the behavior of human traders in Double-Auction markets. If computer simulations could complement human experiments, this would dramatically increase the number and type of experiments that investigators could use to study the effects of institutional changes. The results of the experiments should also provide new insights into the performance of double auctions. This is important because the double auction is the type of trading institution used by the Chicago Board of Trade, the New York Stock Exchange, and many other securities and commodities exchanges throughout the world.