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), pages 465-473, May 2021.
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
2nd ACM International Conference on AI in Finance (ICAIF), Article No.: 20, pages 1–8, November 2021.
Extended abstract appeared in 20th International Conference on Autonomous Agents and Multiagent Systems (AAMAS),…
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…
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…
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…
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…
Generating Stock Market Data
CSE news item on our AAAI-20 paper, describing a GAN model for financial market order streams.