SRG paper wins Best Paper Award at ICAIF 2024
The paper titled "The Effect of Liquidity on the Spoofability of Financial Markets," led by Anri Gu, an undergraduate researcher with SRG, and coauthored by our recent PhD alum Yongzhao Wang, current PhD student Chris Mascioli, assistant research…
Market Making with Learned Beta Policies
Y Wang, R Savani, A Gu, C Mascioli, T Turocy, and MP Wellman
5th ACM International Conference on AI in Finance (ICAIF), pages 643-651, November 2024.
Abstract
In market making, a market maker (MM) can concurrently place many buy and sell…
A Financial Market Simulation Environment for Trading Agents Using Deep Reinforcement Learning
C Mascioli, A Gu, Y Wang, M Chakraborty, and MP Wellman
5th ACM International Conference on AI in Finance (ICAIF), pages 117-125, November 2024.
Abstract
We present PyMarketSim, a financial market simulation environment designed for training…
The Effect of Liquidity on the Spoofability of Financial Markets
A Gu, Y Wang, C Mascioli, R Savani, T Turocy, M Chakraborty, and MP Wellman
5th ACM International Conference on AI in Finance (ICAIF), pages 239-247, November 2024.
Recipient of the ICAIF24 Best Paper Award.
Abstract
We investigate the…
Generalized Response Objectives for Strategy Exploration in Empirical Game-Theoretic Analysis
Y Wang and MP Wellman
23nd International Conference on Autonomous Agents and Multi-Agent Systems (AAMAS), May 2024. Forthcoming.
Abstract
In the policy-space response oracle (PSRO) framework, strategy sets defining an empirical game are iteratively…
Empirical Game-Theoretic Analysis for Mean Field Games
Y Wang and MP Wellman
22nd International Conference on Autonomous Agents and Multi-Agent Systems (AAMAS), pp. 1025–1033, June 2023.
Abstract
We present a simulation-based approach for solution of mean field games (MFGs), using the framework…
Yongzhao finishes as CSE Graduate Honors Runner-up
Yongzhao Wang was one of the runners-up from the AI lab in the lead-up to the 19th Annual CSE Graduate Honors Competition. He gave a short presentation on his research titled "Multi-Agent Learning by Iterative Refinement of Game Models" at…
Yongzhao Wang defends dissertation proposal
On 10 May 2022, Yongzhao Wang presented and successfully defended his dissertation proposal titled "Multi-agent Learning by Iterative Refinement of Game Models."
The dissertation committee comprises:
Michael Wellman [chair]
Tilman…
Evaluating Strategy Exploration in Empirical Game-Theoretic Analysis
Y Wang, Q Ma and MP Wellman
21st International Conference on Autonomous Agents and Multi-Agent Systems (AAMAS), pages 1346—1354, May 2022.
Abstract
In empirical game-theoretic analysis (EGTA), game models are extended iteratively through…
Building Action Sets in a Deep Reinforcement Learner
Y Wang, A Sinha, S CH-Wang, and MP Wellman
20th IEEE International Conference on Machine Learning and Applications (ICMLA-21), pages 484–489, December 2021.
Abstract
In many policy-learning applications, the agent may execute a set of actions…