Megan Shearer defends thesis proposal
On June 1 2021, Megan Shearer presented and successfully defended her dissertation proposal titled "Modeling Trading Strategies in Financial Markets with Data, Simulation, and Deep Reinforcement Learning".
The dissertation committee comprises:
…
Spoofing the Limit Order Book: A Strategic Agent-Based Analysis
X Wang, C Hoang, Y Vorobeychik, and MP Wellman
Games 2021 12(2) 46, May 2021.
Abstract
We present an agent-based model of manipulating prices in financial markets through spoofing: submitting spurious orders to mislead traders who learn from…
Max Smith defends thesis proposal
On 27 April 2021, Max Smith presented and successfully defended his dissertation proposal titled "On Efficient Deep Multiagent Reinforcement Learning Through Transfer Learning".
The dissertation committee comprises:
Michael Wellman [chair]
…
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),…
Evolution Strategies for Approximate Solution of Bayesian Games
Z Li and MP Wellman
35th AAAI Conference on Artificial Intelligence, pages 5531-5540, Feb 2021.
Abstract
We address the problem of solving complex Bayesian games, characterized by high-dimensional type and action spaces, many (> 2) players,…
Iterative Empirical Game Solving via Single Policy Best Response
MO Smith, T Anthony, and MP Wellman
9th International Conference on Learning Representations (ICLR), Spotlight Presentation, May 2021.
Abstract
Policy-Space Response Oracles (PSRO) is a general algorithmic framework for learning policies…
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…
SRG receives Facebook research award
Our proposal titled "Empirical game-theoretic analysis for web-enabled simulation" sent in response to the request launched by Facebook Research for proposals on agent-based user interaction simulation to find and fix integrity and privacy issues…
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…