Market Selection with Midpoint Matching: A Strategic Agent-Based Analysis

G Smithline, A Gu, and MP Wellman 6th ACM International Conference on AI in Finance (ICAIF), November 2025. To appear. Abstract We study midpoint matching through Nasdaq’s Midpoint Extended-Life Order (M-ELO) mechanism, which offers non-displayed…

Explicit Exploration for High-Welfare Equilibria in Game-Theoretic Multiagent Reinforcement Learning

A Nguyen, A Gu, and MP Wellman 42nd International Conference on Machine Learning (ICML), July 2025. Abstract Iterative extension of empirical game models through deep reinforcement learning (RL) has proved an effective approach for finding…
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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…
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Anri Gu