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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…

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…

Evaluating the stability of non-adaptive trading in continuous double auctions

M Wright and MP Wellman 17th International Conference on Autonomous Agents and Multiagent Systems, pages 614–622, July 2018. Abstract The continuous double auction (CDA) is the predominant mechanism in modern securities markets. Many agent-based…
Erik Brinkman
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Erik Brinkman defends thesis

On Tue 20 Mar, Erik Brinkman successfully defended his thesis, "Understanding financial market behavior through empirical game-theoretic analysis". Congratulations, soon-to-be Dr. Brinkman. Thanks to the thesis committee members: Jacob…

Detecting Financial Market Manipulation: An Integrated Data- and Model-Driven Approach

Principal Investigators Michael Wellman (U Michigan) Uday Rajan (U Michigan) Michael Barr (U Michigan) PIs at partner universities: Tucker Balch (Georgia Tech) Sponsored by the NSF BIGDATA program, grant IIS-1741190. Project…
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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,…

Shading and efficiency in limit-order markets

E Brinkman and MP Wellman Working paper A preliminary version was presented at the IJCAI-16 Workshop on Algorithmic Game Theory. Abstract Strategic shading of bids is typically viewed as a factor degrading the efficiency of auction…

Empirical mechanism design for optimizing clearing interval in frequent call markets

E Brinkman and MP Wellman Proceedings of the 18th ACM Conference on Economics and Computation, pages 205–221, June 2017. Abstract Several recent authors have advocated for financial markets to move from continuous clearing to discrete…

Spoofing the limit order book: An agent-based model

X Wang and MP Wellman 16th International Conference on Autonomous Agents and Multiagent Systems, pages 651–659, May 2017. Abstract We present an agent-based model of manipulating prices in financial markets through spoofing: submitting…