A Stackelberg game model for botnet data exfilitration
TH Nguyen, MP Wellman, and S Singh
8th Conference on Decision and Game Theory for Security (GameSec), pages 151–170, Oct 2017.
Abstract
Cyber-criminals can distribute malware to control computers on a networked system and leverage these…
Accounting for strategic response in an agent-based model of financial regulation
F Cheng and MP Wellman
Proceedings of the 18th ACM Conference on Economics and Computation, pages 187–203, June 2017.
Abstract
Due to complex interactions in financial markets, financial regulations can sometimes produce unexpected outcomes,…
Shading and efficiency in limit-order markets
E Brinkman and MP Wellman
Working paper
A preliminary version was presented at the IJCAI-16 Workshop on Algorithmic Game Theory.
Abstract
Strategic shading of bids is typically viewed as a factor degrading the efficiency of auction…
Empirical mechanism design for optimizing clearing interval in frequent call markets
E Brinkman and MP Wellman
Proceedings of the 18th ACM Conference on Economics and Computation, pages 205–221, June 2017.
Abstract
Several recent authors have advocated for financial markets to move from continuous clearing to discrete…
Spoofing the limit order book: An agent-based model
X Wang and MP Wellman
16th International Conference on Autonomous Agents and Multiagent Systems, pages 651–659, May 2017.
Abstract
We present an agent-based model of manipulating prices in financial markets through spoofing: submitting…
Strategic agent-based modeling of financial markets
MP Wellman and E Wah
RSF: The Russell Sage Foundation Journal of the Social Sciences, 3(1): 104–119, 2017.
Abstract
Understanding the implications of algorithmic trading calls for modeling financial markets at a level of fidelity that…
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…
Welfare Effects of Market Making in Continuous Double Auctions
E Wah, M Wright, and MP Wellman
Journal of Artificial Intelligence Research 59:613–650, 2017.
Revised and significantly extended version of a paper presented at:
International Conference on Autonomous Agents and Multiagent Systems, May…
Self-confirming price-prediction strategies for simultaneous one-shot auctions
MP Wellman, E Sodomka, and A Greenwald
Games and Economic Behavior, 102:339–372, 2017.
Abstract
Bidding in simultaneous auctions is challenging because an agent's value for a good in one auction may depend on the outcome of other auctions;…
