Some issues in the design of market-oriented agents

T Mullen and MP Wellman International Workshop on Agent Theories, Architectures, and Languages (ATAL-95), 1995. Abstract In a computational market, distributed market agents interact with other agents primarily through the exchange of…

Real time issues for Internet auctions

MP Wellman and PR Wurman First IEEE Workshop on Dependable and Real-Time E-Commerce Systems (DARE-98), Denver, CO, USA, June 1998. Abstract Designers of online auction mechanisms face many interesting choices related to the timing of…

Multi-stage attack graph security games: Heuristic strategies, with empirical game-theoretic analysis

TH Nguyen, M Wright, MP Wellman, and S Singh Security and Communication Networks, Article ID 2864873, 28 pages, 2018. Extended version of a paper presented at the Fourth ACM Workshop on Moving Target Defense, Oct 2017. Abstract We study…

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…
, , , ,

Algocracy Podcast

Uday Rajan and I appeared on the Algocracy and Transhumanism Project Podcast, hosted by John Danaher, to talk about our recent article on the ethics of automated trading.

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…