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Credit networks paper presented at Allerton conference

An Empirical Game-Theoretic Analysis of Credit Network Formation
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2012 Trading Agent Competition Results

TAC-12 is now (mostly) history. The Ad Auction (AA) and Supply Chain Management (SCM) divisions had their semifinals and finals in Valencia earlier this month. Results are posted on the TAC web site. The PowerTAC finals were postponed to September. Our…

The Microsecond Market

IEEE Spectrum has a nice feature article (written by David Schneider) in their June 2012 issue about high-frequency trading and the latency arms race in particular.  The article quotes me advocating discrete-time markets.

Going to Liverpool

Visiting the CS dept, will talk about EGTA for Canonical Auction Games.

Trading Agents lecture published

Morgan & Claypool has just published my volume Trading Agents, in its “Synthesis Lecture” series. Check out the description here.
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2010 Trading Agent Competition Results

The eleventh annual Trading Agent Competition was completed earlier this month at the ACM EC-10 conference in Cambridge, Massachusetts.  TAC-10 featured three games: the supply chain management (SCM), market design (reverse TAC, or "CAT"),…

Threads of Research on Generic CDA Strategies

Research on trading strategy for generic continuous double auctions (CDAs) seems to take place on four parallel and minimally interacting threads. By “generic CDA”, I mean models of two-sided continuous trading of an abstract good, as distinct…

Technology Enablers of Latency Arbitrage

Ralph Frankel, CTO of Solace Systems, has a fascinating article on the technology for shaving microseconds and milliseconds off the market-response time they can achieve for high-frequency trading functions. He classifies “tricks of the trade”…

Cost/Benefit of High-Frequency Trading

On Marginal Revolution, Tyler Cowen discusses high-frequency trading and gets to the nub of the issue: The philosophical question is why it might possibly be beneficial to have market prices adjust within five seconds rather than within fifteen.…

Countering High-Frequency Trading

The recent NYT article by Charles Duhigg on high-frequency trading (HFT) has set off a flurry of argument about the benefits and threats of this activity to financial trading systems. The revelation that some systems provide advance information…