Do Computerized Traders Follow Social Norms? Evidence from the Holocaust Remembrance Moment of Silence

Abstract

Our paper employs a unique social setting, in which human activity halts during a siren alarm for two minutes to commemorate the Israeli Holocaust Remembrance Day. When the siren sounds, the social norm is to cease all activity and stand still for two minutes. The memorial siren occurs during the trading hours of the stock market, which remains open during the two-minute period. This creates a quasi-natural experiment to examine how computerized traders react when most human activity has ceased. As expected, we document a significant decline in human trading activity during the siren. Remarkably, however, computerized traders decrease their trading activity as well. Moreover, their share as takers does not significantly increase. Our findings suggest that computers alter their trading patterns in sync with humans who are affected by various norms; hence, bias-free computerized trading should not be taken for granted.