Detecting Financial Market Manipulation: An Integrated Data- and Model-Driven Approach

Principal Investigators Michael Wellman (U Michigan) Uday Rajan (U Michigan) Michael Barr (U Michigan) PIs at partner universities: Tucker Balch (Georgia Tech) Sponsored by the NSF BIGDATA program, grant IIS-1741190. Project…
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New project on market manipulation

Collaboration with Tucker Balch (Ga Tech), Uday Rajan (UMich), and Michael Barr (UMich), funded by NSF BIGDATA program. CSE news posting.
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Algocracy Podcast

Uday Rajan and I appeared on the Algocracy and Transhumanism Project Podcast, hosted by John Danaher, to talk about our recent article on the ethics of automated trading.
Erik Brinkman

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…
Erik Brinkman
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Erik Brinkman Defends Thesis Proposal

Erik Brinkman successfully defended his thesis proposal today: Understanding Financial Market Behavior through Empirical Game-Theoretic Analysis. Congratulations, Erik.
Erik Brinkman

Another Rebuttal

Rishi Narang has written another article on defending charges of HFT front-running, this one a direct attack on me.  Titled “Exposing the falsehood of a prominent HFT critic’s arguments“, Narang attempts to refute my rebuttal…
Erik Brinkman

HFT and Front Running

CNBC recently ran a commentary by Rishi K. Narang, under the headline “High-frequency traders can’t front-run anyone“, in which the author calls our characterizations of HFT “blatantly false”. My rebuttal here.
Erik Brinkman

Arguments about “front running”

One of the brilliant rhetorical devices deployed by Michael Lewis in his public interviews about Flash Boys is referring to some HFT practices as "legal front running". By inserting the "legal", he takes off the table any accusations of lawbreaking.…
Erik Brinkman

“The Myths around Latency Arbitrage”

It was predictable that wading into the public debates around high-frequency trading would attract some attacks on our research.  Nevertheless, it is still novel for me to read a blog claiming that our “research makes a number of basic mistakes”,…
Erik Brinkman

Does US HFT need stricter regulatory oversight?

YES. My “head-to-head” opinion piece in International Financial Law Review. local PDF copy