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…
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,…
