Welfare Effects of Market Making in Continuous Double Auctions

E Wah, M Wright, and MP Wellman Journal of Artificial Intelligence Research 59:613–650, 2017. Revised and significantly extended version of a paper presented at: International Conference on Autonomous Agents and Multiagent Systems, May…

Empirical Game-Theoretic Analysis of an Adaptive Cyber-Defense Scenario (Preliminary Report)

MP Wellman and A Prakash Fifth Conference on Decision and Game Theory for Security, Nov 2014. This report is superseded by a follow-on paper presented at the 2015 MTD workshop. Abstract We investigate an adaptive cyber-defense scenario,…

Strategic Modeling of Dynamic Credit Networks

Principal Investigator Michael Wellman Students Frank Cheng Junming Liu (MS ECE, 2015) Project Goals The 2008 financial crisis demonstrated that complex and opaque networks of credit relationships among firms can set the…

Putting the Agent in Agent-Based Modeling

MP Wellman Autonomous Agents and Multi-Agent Systems 30:1175–1189, 2016. Edited transcript of a talk presented at the 13th International Conference on Autonomous Agents and Multiagent Systems (Paris, France), May 2014, on receipt of the…

Bootstrap statistics for empirical games

B Wiedenbeck, B-A Cassell, and, MP Wellman International Conference on Autonomous Agents and Multiagent Systems, pages 597–604, May 2014. Abstract Researchers often use normal-form games to model multi-agent interactions. When a game…

Analyzing Incentives for Protocol Compliance in Complex Domains: A Case Study of Introduction-Based Routing

MP Wellman, TH Kim, and Q Duong Presented at the 12th Workshop on the Economics of Information Security, June 2013. Abstract Formal analyses of incentives for compliance with network protocols often appeal to game-theoretic models and…

Accounting for Price Dependencies in Simultaneous Sealed-Bid Auctions

BA Mayer, E Sodomka, A Greenwald, and MP Wellman 14th ACM Conference on Electronic Commerce, pages 679–696, June 2013. Abstract Current autonomous bidding strategies for complex auctions typically employ a two phased architecture: first,…

Latency Arbitrage, Market Fragmentation, and Efficiency: A Two-Market Model

E Wah and MP Wellman Proceedings of the 14th ACM Conference on Electronic Commerce, pages 855–872, June 2013. Abstract We study the effect of latency arbitrage on allocative efficiency and liquidity in fragmented financial markets.  We…

An empirical game-theoretic analysis of credit network formation

MP Wellman and B Wiedenbeck Fiftieth Annual Allerton Conference on Communication, Control, and Computing, October 2012. Abstract The framework of credit networks provides a flexible and robust model of distributed trust, based on pairwise…

Self-confirming price-prediction strategies for simultaneous one-shot auctions

MP Wellman, E Sodomka, and A Greenwald Games and Economic Behavior, 102:339–372, 2017. Abstract Bidding in simultaneous auctions is challenging because an agent's value for a good in one auction may depend on the outcome of other auctions;…