Related papers: Market Manipulation as a Security Problem
We contrast Arbitrage Pricing Theory (APT), the theoretical basis for the development of financial instruments, with a dynamical picture of an interacting market, in a simple setting. The proliferation of financial instruments apparently…
Decision-making methods very often use the technique of comparing alternatives in pairs. In this approach, experts are asked to compare different options, and then a quantitative ranking is created from the results obtained. It is commonly…
This paper presents a new financial market simulator that may be used as a tool in both industry and academia for research in market microstructure. It allows multiple automated traders and/or researchers to simultaneously connect to an…
Pari-mutuel markets are trading platforms through which the common market maker simultaneously clears multiple contingent claims markets. This market has several distinctive properties that began attracting the attention of the financial…
The extent to which a matching engine can cloud the modelling of underlying order submission and management processes in a financial market remains an unanswered concern with regards to market models. Here we consider a 10-variate Hawkes…
We present a new model for prediction markets, in which we use risk measures to model agents and introduce a market maker to describe the trading process. This specific choice on modelling tools brings us mathematical convenience. The…
A series of recent papers raises worries about the manipulative potential of algorithmic transparency. But while the concern is apt and relevant, it is based on a fraught understanding of manipulation. Therefore, this paper draws attention…
A Markovian modulation captures the trend in the market and influences the market coefficients accordingly. The different scenarios presented by the market are modeled as the distinct states of a discrete-time Markov chain. In our paper, we…
In this paper we study the so-called minimum income condition order, which is used in some day-ahead electricity power exchanges to represent the production-related costs of generating units. This order belongs to the family of complex…
The cryptocurrency market is a very huge market without effective supervision. It is of great importance for investors and regulators to recognize whether there are market manipulation and its manipulation patterns. This paper proposes an…
We study the optimal mechanism design problem faced by a market intermediary who makes revenue by connecting buyers and sellers. We first show that the optimal intermediation protocol has substantial structure: it is the solution to an…
Interference between treated and untreated units is a source of bias in marketplace experiments. In this paper, we specifically consider pricing interventions, in which a platform seeks to adjust base pricing levels at the marketplace level…
The paper presents two new approaches to modeling the interaction of small and medium pricetaking traders with a stock exchange. In the framework of these approaches, the traders can form and manage their portfolios of financial instruments…
The prospect of collusive agreements being stabilized via the use of pricing algorithms is widely discussed by antitrust experts and economists. However, the literature is often lacking the perspective of computer scientists, and seems to…
The increasing deployment of Artificial Intelligence (AI) and other autonomous algorithmic systems presents the world with new systemic risks. While focus often lies on the function of individual algorithms, a critical and underestimated…
We investigate and defend the possibility of causing a stock market crash via small manipulations of individual stock values that together realize an adversarial example to financial forecasting models, causing these models to make the…
The importance of algorithmic fairness grows with the increasing impact machine learning has on people's lives. Recent work on fairness metrics shows the need for causal reasoning in fairness constraints. In this work, a practical method…
The stock market is a network which provides a platform for almost all major economic transactions. While investing in the stock market is a good idea, investing in individual stocks may not be, especially for the casual investor. Smart…
The problem of allocating scarce items to individuals is an important practical question in market design. An increasingly popular set of mechanisms for this task uses the concept of market equilibrium: individuals report their preferences,…
We study the most famous example of a large financial market: the Arbitrage Pricing Model, where investors can trade in a one-period setting with countably many assets admitting a factor structure. We consider the problem of maximising…