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New project on market manipulation

Collaboration with Tucker Balch (Ga Tech), Uday Rajan (UMich), and Michael Barr (UMich), funded by NSF BIGDATA program. CSE news posting.

Accounting for strategic response in an agent-based model of financial regulation

F Cheng and MP Wellman Proceedings of the 18th ACM Conference on Economics and Computation, pages 187–203, June 2017. Abstract Due to complex interactions in financial markets, financial regulations can sometimes produce unexpected outcomes,…
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Algocracy Podcast

Uday Rajan and I appeared on the Algocracy and Transhumanism Project Podcast, hosted by John Danaher, to talk about our recent article on the ethics of automated trading.
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Bloomberg article about ASU Origins workshop on adverse AI outcomes

Last weekend I attended a very interesting meeting at Arizona State U, hosted by the Origins Project, devoted to discussions on potential adverse outcomes from AI, and how to avoid them. Bloomberg News ran an article describing it at high level.…

Ethical issues for autonomous trading agents

MP Wellman and U Rajan Minds and Machines, To appear. Abstract The rapid advancement of algorithmic trading has demonstrated the success of AI automation, as well as gaps in our understanding of the implications of this technology proliferation.…
Erik Brinkman
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Erik Brinkman Defends Thesis Proposal

Erik Brinkman successfully defended his thesis proposal today: Understanding Financial Market Behavior through Empirical Game-Theoretic Analysis. Congratulations, Erik.
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JAAMAS Special issue on Autonomous Agents for ABM

Just published: the special issue of J. Autonomous Agents and Multiagent Systems, on Autonomous Agents for Agent-Based Modeling.  Co-editors: Virginia Dignum, Nigel Gilbert, Michael Wellman.

AI Scientist Letter on Autonomous Weapons

Signing the AI Researcher Open Letter on Autonomous Weapons was something of a no-brainer for me.  I am not confident that a ban would be easy to define or enact or enforce, but the attempt is worthwhile if only to give some pause and shine…

Economic Reasoning and AI

A review article on Econ/AI co-authored by David Parkes and myself just came out in the 17 July issue of Science magazine. See also David’s interview about it on phys.org.
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CFP: JAAMAS special issue on ABM

Autonomous Agents for Agent-Based Modeling A special issue of the Journal of Autonomous Agents and Multiagent Systems

Strategic Modeling of Dynamic Credit Networks

Principal Investigator Michael Wellman Students Frank Cheng Junming Liu (MS ECE, 2015) Project Goals The 2008 financial crisis demonstrated that complex and opaque networks of credit relationships among firms can set the…

Putting the Agent in Agent-Based Modeling

Article version of my AAMAS-14 keynote talk is now available.

Another cnbc.com Rebuttal

Rishi Narang has written another article on cnbc.com defending charges of HFT front-running, this one a direct attack on me.  Titled “Exposing the falsehood of a prominent HFT critic’s arguments“, Narang attempts to refute my rebuttal…

HFT and Front Running

CNBC recently ran a commentary by Rishi K. Narang, under the headline “High-frequency traders can’t front-run anyone“, in which the author calls our characterizations of HFT “blatantly false”. My rebuttal here.

Arguments about "front running"

One of the brilliant rhetorical devices deployed by Michael Lewis in his public interviews about Flash Boys is referring to some HFT practices as "legal front running". By inserting the "legal", he takes off the table any accusations of lawbreaking.…

“The Myths around Latency Arbitrage”

It was predictable that wading into the public debates around high-frequency trading would attract some attacks on our research.  Nevertheless, it is still novel for me to read a blog claiming that our “research makes a number of basic mistakes”,…

Does US HFT need stricter regulatory oversight?

YES. My “head-to-head” opinion piece in International Financial Law Review. local PDF copy

CNN Money article on latency arbitrage

Quotes our favorite remedy… http://finance.fortune.cnn.com/2013/08/30/latency-arbitrage-costs/

Hochfrequenzhandel

“High frequency trading” in German.  Die Zeit article quoting me in translation.

Every day, another flash crash

column by Michael Brush, MSN Money Bringing attention to “mini flash crashes” reportedly occurring with some regularity in recent months. Quotes me about vulnerability of the markets near beginning of the column.

Michigan Daily article on U.Michigan Consumer Sentiment Survey and HFT

quotes Uday Rajan, me http://michigandaily.com/news/university-participation-giving-data-high-frequency-trading-raises-questions

Michigan Sells 2-Second Advance Version of Consumer Confidence Survey

The University of Michigan and Thomson Reuters are getting a lot of heat from recent reports about a million-dollar deal whereby Michigan releases a data feed with survey results a full two seconds before the results are available to select…
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Michigan AI Lab Mini-Symposium Scheduled for 2 May

A showcase of research from across the AI Lab. Start of an annual tradition? See the details.
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Credit networks paper presented at Allerton conference

An Empirical Game-Theoretic Analysis of Credit Network Formation
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Quang Duong Defends Dissertation

Quang Duong successfully defended his thesis on 20 July.  Quang's dissertation, entitled Graphical Multiagent Models, demonstrates how to exploit the flexibility and power of probabilistic graphical models for representing and reasoning about…
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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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SRG @ AAAI-10

The 2010 AAAI Conference was held last week in Atlanta.  SRG presented one paper there: Algorithms for Finding Approximate Formations in Games (PR Jordan & MPW) The conference also featured papers co-authored by several SRG alumni Automated…
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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”…

Short-Lived Dark Pools

Felix Salmon cited my original post on employing one-second call markets as a counter to high-frequency trading. He ends his post by raising the following question for his readers (far more numerous than mine) to consider: Would this plan essentially…

Google Faculty Summit

I just returned from the Google Faculty Summit, a gathering of ~100 professors (mostly computer scientists) in Mountain View from universities across North America, and a few from South America as well. Google holds this event annually, as part…

AAAI Asilomar Meeting

John Markoff’s NYT article “Scientists Worry Machines May Outsmart Man” touched off a mini-firestorm this week. The article refers to a meeting of AI scientists held at Asilomar (a conference center near Monterey) in February to discuss…

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…
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2009 Trading Agent Competition Results

The tenth annual Trading Agent Competition was completed earlier this month at the IJCAI-09 conference in Pasadena, California. TAC-09 featured three games: the supply chain management, market design, and ad auction games. Preliminary rounds began in June, involving 42 teams from 14 countries.