Stability Effects of Arbitrage in Exchange Traded Funds: An Agent-Based Model

M Shearer, D Byrd, TH Balch, and MP Wellman 2nd ACM International Conference on AI in Finance (ICAIF), November 2021 (Forthcoming). Abstract An index-based exchange traded fund (ETF) with underlying securities that trade on the same market…

Timing is Money: The Impact of Arrival Order in Beta-Bernoulli Prediction Markets

B Martin, S Kutty, and M Chakraborty 2nd ACM International Conference on AI in Finance (ICAIF), November 2021 (Forthcoming). Abstract Prediction markets are incentive-based mechanisms for eliciting and combining the diffused, private beliefs…

An Agent-Based Model of Strategic Adoption of Real-Time Payments

K Mayo, S Fozdar, and MP Wellman 2nd ACM International Conference on AI in Finance (ICAIF), November 2021 (Forthcoming). Abstract Real-time payments (RTPs) allow consumers to receive funds before the completion of payment clearing and settlement.…

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…

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…

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 2nd ACM International Conference on AI in Finance (ICAIF), November 2021 (Forthcoming). Extended abstract appeared in 20th International Conference on Autonomous Agents and Multiagent Systems (AAMAS), pages 1599-1601,…

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…