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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), May 2021 (forthcoming). 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, May 2021 (forthcoming). 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, Feb 2021 (forthcoming). 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 (forthcoming). Abstract Policy-Space Response Oracles (PSRO) is a general algorithmic framework for learning…
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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…

Learning-Based Trading Strategies in the Face of Market Manipulation

X Wang, C Hoang, and MP Wellman ACM International Conference on AI and Finance, October 2020. Abstract We study learning-based trading strategies in markets where prices can be manipulated through spoofing: the practice of submitting spurious…

Economic reasoning from simulation-based game models

MP Wellman Œconomia, 10(2):257–278, 2020. Abstract Simulation modeling in economics has historically been viewed as an alternative to mainstream analytic technique, and as such has generally and intentionally avoided the focus on rational…