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…
Wired article on hedge fund using private currency for crowdsouring
I'm quoted as a skeptic.
https://www.wired.com/2017/02/ai-hedge-fund-created-new-currency-make-wall-street-work-like-open-source/
FLI Feature Article
https://futureoflife.org/2017/02/15/financial-world-ai/
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…
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…
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 Defends Thesis Proposal
Erik Brinkman successfully defended his thesis proposal today: Understanding Financial Market Behavior through Empirical Game-Theoretic Analysis.
Congratulations, Erik.
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…
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…