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…

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…

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…

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…

Empirical Game-Theoretic Analysis for Moving Target Defense

A Prakash and MP Wellman Second ACM Workshop on Moving Target Defense, Oct 2015. Abstract The effectiveness of a moving target defense depends on how it is deployed through specific system operations over time, and how attackers may respond…

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…

Database modeling of empirical games

B-A Cassell and MP Wellman SIGMOD-14 Workshop on Data Science for Macro-Modeling, June 2014 Abstract There is a growing interest in computational game theory, the study of algorithms for analyzing multi-agent strategic interaction cast as…