Bounding regret in empirical games

S Jecmen, A Sinha, Z Li, L Tran-Thanh 34th AAAI Conference on Artificial Intelligence (AAAI), 2020. Abstract Empirical game-theoretic analysis refers to a set of models and techniques for solving large-scale games. However, there is a lack…

Evaluating the stability of non-adaptive trading in continuous double auctions

M Wright and MP Wellman 17th International Conference on Autonomous Agents and Multiagent Systems, pages 614–622, July 2018. Abstract The continuous double auction (CDA) is the predominant mechanism in modern securities markets. Many agent-based…

A regression approach for modeling games with many symmetric players

B Wiedenbeck, F Yang, and MP Wellman 32nd AAAI Conference on Artificial Intelligence, pages 1266–1273, Feb 2018. Abstract We exploit player symmetry to formulate the representation of large normal-form games as a regression task. This formulation…

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…

Latency arbitrage in fragmented markets: A strategic agent-based analysis

E Wah and MP Wellman Algorithmic Finance 5:69-93, 2016. Abstract We study the effect of latency arbitrage on allocative efficiency and liquidity in fragmented financial markets. We employ a simple model of latency arbitrage in which a…
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Xintong Wang Passes Prelim

Xintong Wang passed her prelim exam, based on her directed study project: Spoofing the Limit Order Book: An Agent-Based Model. Congratulations, Xintong.