Erik Brinkman

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…
Erik Brinkman

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…

Wired article on hedge fund using private currency for crowdsouring

I'm quoted as a skeptic.
Erik Brinkman

Strategic agent-based modeling of financial markets

MP Wellman and E Wah RSF: The Russell Sage Foundation Journal of the Social Sciences, 3(1): 104–119, 2017. Abstract Understanding the implications of algorithmic trading calls for modeling financial markets at a level of fidelity that…
Erik Brinkman

Ethical issues for autonomous trading agents

MP Wellman and U Rajan Minds and Machines, 27:609-624, 2017. Abstract The rapid advancement of algorithmic trading has demonstrated the success of AI automation, as well as gaps in our understanding of the implications of this technology…
Erik Brinkman

Latency arbitrage in fragmented markets: A strategic agent-based analysis

E Wah and MP Wellman Algorithmic Finance 5:69-93, 2016. Abstract We study the effect of latency arbitrage on allocative efficiency and liquidity in fragmented financial markets. We employ a simple model of latency arbitrage in which a…
Erik Brinkman
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Erik Brinkman Defends Thesis Proposal

Erik Brinkman successfully defended his thesis proposal today: Understanding Financial Market Behavior through Empirical Game-Theoretic Analysis. Congratulations, Erik.
Erik Brinkman

Strategic Payment Routing in Financial Credit Networks

F Cheng, J Liu, K Amin, and MP Wellman Proceedings of the 17th ACM Conference on Economics and Computation, pages 721–738, July 2016. Abstract Credit networks provide a flexible model of distributed trust, which supports transactions…
Erik Brinkman

Strategic Market Choice: Frequent Call Markets vs. Continuous Double Auctions for Fast and Slow Traders

E Wah, DR Hurd, and MP Wellman Third EAI Conference on Auctions, Market Mechanisms, and Their Applications, August 2015. Also appears as part of EAI Endorsed Transactions on Serious Games 16(10):e1. Abstract Frequent call markets have…