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), December 2021 (forthcoming).
Abstract
In many policy-learning applications, the agent may execute a set of actions…
Designing a Combinatorial Financial Options Market
X Wang, DM Pennock, NR Devanur, DM Rothschild, B Tao, and MP Wellman
22nd ACM Conference on Economics and Computation (EC), pages 864-883, July 2021.
Abstract
Financial options are contracts that specify the right to buy or sell an underlying…
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…
Log-time Prediction Markets for Interval Securities
M Dudík, X Wang, D Pennock, and D Rothschild
20th International Conference on Autonomous Agents and Multiagent Systems (AAMAS), pages 465-473, May 2021.
Abstract
We design a prediction market to recover a complete and fully general probability…
A Strategic Analysis of Portfolio Compression
K Mayo and MP Wellman
20th International Conference on Autonomous Agents and Multiagent Systems (AAMAS), Extended Abstract, pages 1599-1601, May 2021.
Abstract
Portfolio compression, the netting of cycles in a financial network, is employed…
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
M 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 in…
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…
