Skip to main content

Research Repository

Advanced Search

Arbitrage bots in experimental asset markets

Angerera, Martin; Neugebauer, Tibor; Shachat, Jason


Martin Angerera

Tibor Neugebauer


Trading algorithms are an integral component of modern asset markets. In twin experimental markets for long-lived correlated assets we examine the impact of alternative types of arbitrage-seeking algorithms. These arbitrage robot traders vary in their latency and whether they make or take market liquidity. All arbitrage robot traders we examine generate greater conformity to the law-of-one-price across the twin markets. However, only the liquidity providing arbitrage robot trader moves prices into closer alignment with fundamental values. The reduced mispricing comes with varying social costs; arbitrage robot traders’ gains reduce the earnings of human traders. We identify factors which drive differences in human trader performance and find that the presence of an arbitrage robot trader has no disproportionate effect with respect to these factors on subjects’ earnings.


Angerera, M., Neugebauer, T., & Shachat, J. (2023). Arbitrage bots in experimental asset markets. Journal of Economic Behavior and Organization, 206, 262-278.

Journal Article Type Article
Acceptance Date Dec 7, 2022
Online Publication Date Dec 28, 2022
Publication Date 2023-02
Deposit Date Dec 9, 2022
Publicly Available Date Jun 29, 2024
Journal Journal of Economic Behavior and Organization
Print ISSN 0167-2681
Electronic ISSN 2328-7616
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 206
Pages 262-278
Public URL