Related papers: Market Manipulation as a Security Problem
We introduce a new class of combinatorial markets in which agents have covering constraints over resources required and are interested in delay minimization. Our market model is applicable to several settings including scheduling, cloud…
Machine learning (especially reinforcement learning) methods for trading are increasingly reliant on simulation for agent training and testing. Furthermore, simulation is important for validation of hand-coded trading strategies and for…
We summarize the fundamental issues at stake in algorithmic trading, and the progress made in this field over the last twenty years. We first present the key problems of algorithmic trading, describing the concepts of optimal execution,…
Managing a book of options on several underlying involves controlling positions of several thousands of financial assets. It is one of the most challenging financial problems involving both pricing and microstructural modeling. An options…
We present a simple order book mechanism that regulates an artificial financial market with self-organized criticality dynamics and fat tails of returns distribution. The model shows the role played by individual imitation in determining…
Prediction problems in finance go beyond estimating the unknown parameters of a model (e.g. of expected returns). This is because such a model would have to include parameters governing the market participants' propensity to change their…
New theoretical approaches about forecasting stock markets are proposed. A mathematization of the stock market in terms of arithmetical relations is given, where some simple (non-differential, non-fractal) expressions are also suggested as…
A marketplace is defined where the private data of suppliers (e.g., prosumers) are protected, so that neither their identity nor their level of stock is made known to end customers, while they can sell their products at a reduced price. A…
Most finance studies are discussed on the basis of several hypotheses, for example, investors rationally optimize their investment strategies. However, the hypotheses themselves are sometimes criticized. Market impacts, where trades of…
In addition to their benefits, optimization systems can have negative economic, moral, social, and political effects on populations as well as their environments. Frameworks like fairness have been proposed to aid service providers in…
This study examines the impact of different computing implementations of clearing mechanisms on multi-asset price dynamics within an artificial stock market framework. We show that sequential processing of order books introduces a…
The problem of market clearing is to set a price for an item such that quantity demanded equals quantity supplied. In this work, we cast the problem of predicting clearing prices into a learning framework and use the resulting models to…
Two-sided matching markets have long existed to pair agents in the absence of regulated exchanges. A common example is school choice, where a matching mechanism uses student and school preferences to assign students to schools. In such…
AI agents are increasingly used in consumer-facing applications to assist with tasks such as product search, negotiation, and transaction execution. In this paper, we explore a future scenario where both consumers and merchants authorize AI…
Who should be charged with responsibility for an artificial intelligence performing market manipulation have been discussed. In this study, I constructed an artificial intelligence using a genetic algorithm that learns in an artificial…
Computers are increasingly used to make decisions that have significant impact in people's lives. Often, these predictions can affect different population subgroups disproportionately. As a result, the issue of fairness has received much…
Abstract Like electoral systems, decision-making methods are also vulnerable to manipulation by decision-makers. The ability to effectively defend against such threats can only come from thoroughly understanding the manipulation mechanisms.…
Modern evolvements of the technologies have been leading to a profound influence on the financial market. The introduction of constituents like Exchange-Traded Funds, and the wide-use of advanced technologies such as algorithmic trading,…
In this article we consider combinatorial markets with valuations only for singletons and pairs of buy/sell-orders for swapping two items in equal quantity. We provide an algorithm that permits polynomial time market-clearing and -pricing.…
Market power exercise in the electricity markets distorts market prices and diminishes social welfare. Many markets have implemented market power mitigation processes to eliminate the impact of such behavior. The design of mitigation…