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), November 2021 (Forthcoming). Abstract An index-based exchange traded fund (ETF) with underlying securities that trade on the same market…

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), November 2021 (Forthcoming). Abstract Prediction markets are incentive-based mechanisms for eliciting and combining the diffused, private beliefs…

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), November 2021 (Forthcoming). Abstract Real-time payments (RTPs) allow consumers to receive funds before the completion of payment clearing and settlement.…

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…

A Strategic Analysis of Portfolio Compression

K Mayo and MP Wellman 2nd ACM International Conference on AI in Finance (ICAIF), November 2021 (Forthcoming). Extended abstract appeared in 20th International Conference on Autonomous Agents and Multiagent Systems (AAMAS), pages 1599-1601,…

An Agent-Based Model of Financial Benchmark Manipulation

M Shearer, G Rauterberg, and MP Wellman ICML Workshop on Applications and Infrastructure for Multi-Agent Learning, June 2019 Abstract Financial benchmarks estimate market values or reference rates used in a wide variety of contexts, but are…

Learning-Based Trading Strategies in the Face of Market Manipulation

X Wang, C Hoang, and MP Wellman ACM International Conference on AI and Finance, October 2020. Abstract We study learning-based trading strategies in markets where prices can be manipulated through spoofing: the practice of submitting spurious…

Economic reasoning from simulation-based game models

MP Wellman Œconomia, 10(2):257–278, 2020. Abstract Simulation modeling in economics has historically been viewed as an alternative to mainstream analytic technique, and as such has generally and intentionally avoided the focus on rational…

Cap-and-trade emissions regulation: A strategic analysis

F Cheng , Y Engel, and MP Wellman Proceedings of the 28th International Joint Conference on Artificial Intelligence, pages 187–193, August 2019. Abstract Cap-and-trade schemes are designed to achieve target levels of regulated emissions…

A Cloaking Mechanism to Mitigate Market Manipulation

X Wang, Y Vorobeychik, and MP Wellman 27th International Joint Conference on Artificial Intelligence, pages 541–547, July 2018. Abstract We propose a cloaking mechanism to deter spoofing, a form of manipulation in financial markets. The…