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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…

Log-time Prediction Markets for Interval Securities

M Dudík, X Wang, D Pennock, and D Rothschild 20th International Conference on Autonomous Agents and Multiagent Systems (AAMAS), May 2021 (forthcoming). Abstract We design a prediction market to recover a complete and fully general probability…

A Strategic Analysis of Portfolio Compression

K Mayo and MP Wellman 20th International Conference on Autonomous Agents and Multiagent Systems (AAMAS), Extended Abstract, May 2021 (forthcoming). Abstract Portfolio compression, the netting of cycles in a financial network, is employed…

Multiagent Modeling of the Financial Payments System

Researchers Principal Investigators Michael Wellman (Computer Science & Engineering) Michael S. Barr (Public Policy, Law) Uday Rajan (Finance) Gabriel Rauterberg (Law) Students Katherine Mayo Shaily Fozdar This…
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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…