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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, Feb 2020. Abstract We propose an approach to generate realistic and high-fidelity stock market data based on generative adversarial networks (GANs).…
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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…

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,…