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Xintong Wang defends dissertation

On Dec 21, 2020, Xintong Wang successfully defended her PhD dissertation titled, "Computational Modeling and Design of Financial Markets: Towards Manipulation-Resistant and Expressive Markets." Congratulations, Dr. Wang! We wish you a…

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…
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Prof. Wellman to talk at IEX ARC

Prof. Wellman will speak on the topic "Generative Adversarial Networks for Amplifying and Extending Financial Market Data" at the second IEX Academic Research Conference on Nov. 19, 2020. The full program of the two-day virtual event is available…

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…

Market manipulation: An adversarial learning framework for detection and evasion

X Wang and MP Wellman 29th International Joint Conference on Artificial Intelligence, Special Track on AI in FinTech, pages 4626–4632, 2020. Abstract We propose an adversarial learning framework to capture the evolving game between a regulator…
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interview with Grainstone Lee

I spoke with Simon Grainger recently for his firm's "Views from Academia" series. The interview is based on presentations I've made recently on "Game Playing meets Game Theory", discussing the connection between game-theoretic reasoning and…
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Generating Stock Market Data

CSE news item on our AAAI-20 paper, describing a GAN model for financial market order streams.

Generating realistic stock market order streams

J Li, X Wang, Y Lin, A Sinha, and MP Wellman 34th AAAI Conference on Artificial Intelligence, pages 727-734, Feb 2020. Abstract We propose an approach to generate realistic and high-fidelity stock market data based on generative adversarial…
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Workshop: The Systemic Impact of Digitization on Finance

I would like to draw your attention to a 1.5-day workshop on The Systemic Impact of Digitization on Finance, which will be held at the University of Zurich on December 19 and 20, 2019. Submissions are invited until November 15. Participation…
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Xintong Wang defends thesis proposal

(belated announcement) On 20 December 2018, Xintong Wang presented and successfully defended her thesis proposal: "Studies on the Computational Modeling and Design of Financial Markets". The dissertation committee comprises: Michael…