Learning to Manipulate a Financial Benchmark

M Shearer, G Rauterberg, and MP Wellman Proceedings of 4th ACM International Conference on AI in Finance (ICAIF'23), pages 592–600, November 2023. Abstract Financial benchmarks estimate market values or reference rates used in a wide variety…

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), Article No.: 49, pages 1–9, November 2021. Abstract An index-based exchange traded fund (ETF) with underlying securities that trade on…

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…

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…

Market manipulation: An adversarial learning framework for detection and evasion

X Wang and MP Wellman 29th International Joint Conference on Artificial Intelligence, Special Track on AI in FinTech, pages 4626–4632, 2020. Abstract We propose an adversarial learning framework to capture the evolving game between a regulator…

Generating realistic stock market order streams

J Li, X Wang, Y Lin, A Sinha, and MP Wellman 34th AAAI Conference on Artificial Intelligence, pages 727-734, Feb 2020. Abstract We propose an approach to generate realistic and high-fidelity stock market data based on generative adversarial…

A Cloaking Mechanism to Mitigate Market Manipulation

X Wang, Y Vorobeychik, and MP Wellman 27th International Joint Conference on Artificial Intelligence, pages 541–547, July 2018. Abstract We propose a cloaking mechanism to deter spoofing, a form of manipulation in financial markets. The…