Learning to Manipulate a Financial Benchmark
M Shearer, G Rauterberg, and MP Wellman
Proceedings of 4th ACM International Conference on AI in Finance (ICAIF'23), pages 592–600, November 2023.
Abstract
Financial benchmarks estimate market values or reference rates used in a wide variety…
Katherine Mayo defends dissertation proposal
On July 17, 2022, Katherine Mayo presented and successfully defended her dissertation proposal titled "A Strategic Analysis of Economic and Technological Changes in Financial Networks Using Agent-Based Modeling."
The dissertation committee…
Machine Learning, Algorithmic Trading, and Manipulation
Columbia Blue Sky Blog post based on the report by Megan Shearer, Gabriel Rauterberg, and Michael Wellman.
Megan Shearer defends dissertation
On June 27, 2022, Megan Shearer successfully defended her PhD dissertation titled, "Modeling Trading Strategies in Financial Markets with Data, Simulation, and Deep Reinforcement Learning."
Congratulations, Dr. Shearer! We wish you a bright…
Stability Effects of Arbitrage in Exchange Traded Funds: An Agent-Based Model
M Shearer, D Byrd, TH Balch, and MP Wellman
2nd ACM International Conference on AI in Finance (ICAIF), Article No.: 49, pages 1–9, November 2021.
Abstract
An index-based exchange traded fund (ETF) with underlying securities that trade on…
Timing is Money: The Impact of Arrival Order in Beta-Bernoulli Prediction Markets
B Martin, S Kutty, and M Chakraborty
2nd ACM International Conference on AI in Finance (ICAIF), Article No.: 41, pages 1–9, November 2021.
Abstract
Prediction markets are incentive-based mechanisms for eliciting and combining the diffused,…
An Agent-Based Model of Strategic Adoption of Real-Time Payments
K Mayo, S Fozdar, and MP Wellman
2nd ACM International Conference on AI in Finance (ICAIF), Article No.: 45, pages 1–9, November 2021.
Abstract
Real-time payments (RTPs) allow consumers to receive funds before the completion of payment…
Designing a Combinatorial Financial Options Market
X Wang, DM Pennock, NR Devanur, DM Rothschild, B Tao, and MP Wellman
22nd ACM Conference on Economics and Computation (EC), pages 864-883, July 2021.
Abstract
Financial options are contracts that specify the right to buy or sell an underlying…
Megan Shearer defends thesis proposal
On June 1 2021, Megan Shearer presented and successfully defended her dissertation proposal titled "Modeling Trading Strategies in Financial Markets with Data, Simulation, and Deep Reinforcement Learning".
The dissertation committee comprises:
…
Spoofing the Limit Order Book: A Strategic Agent-Based Analysis
X Wang, C Hoang, Y Vorobeychik, and MP Wellman
Games 2021 12(2) 46, May 2021.
Abstract
We present an agent-based model of manipulating prices in financial markets through spoofing: submitting spurious orders to mislead traders who learn from…