Related papers: Market Manipulation as a Security Problem
Using frequency distributions of daily closing price time series of several financial market indexes, we investigate whether the bias away from an equiprobable sequence distribution found in the data, predicted by algorithmic information…
Many conferences rely on paper bidding as a key component of their reviewer assignment procedure. These bids are then taken into account when assigning reviewers to help ensure that each reviewer is assigned to suitable papers. However,…
This study provides a practical introduction to high-frequency trading in blockchain-based currency markets. These types of markets have some specific characteristics that differentiate them from the stock markets, such as a large number of…
We consider the design of private prediction markets, financial markets designed to elicit predictions about uncertain events without revealing too much information about market participants' actions or beliefs. Our goal is to design market…
We use formal methods to specify, design, and monitor continuous double auctions, which are widely used to match buyers and sellers at exchanges of foreign currencies, stocks, and commodities. We identify three natural properties of such…
Order book imbalance (OBI) - buy orders minus sell orders near the best quote - measures supply-demand imbalance that can move prices. OBI is positively correlated with returns, and some investors try to use it to improve performance. Large…
With the digitalization of the financial market, dealers are increasingly handling market-making activities by algorithms. Recent antitrust literature raises concerns on collusion caused by artificial intelligence. This paper studies the…
Clustering is a fundamental problem in machine learning and operations research. Therefore, given the fact that fairness considerations have become of paramount importance in algorithm design, fairness in clustering has received significant…
Suppliers (including companies and individual prosumers) may wish to protect their private information when selling items they have in stock. A market is envisaged where private information can be protected through the use of differential…
Match-fixing undermines the integrity of sport by eroding public trust and threatening the financial sustainability of clubs and leagues. The global expansion of sports betting markets has created new incentives and opportunities for…
Recently, many matching systems around the world have been reformed. These reforms responded to objections that the matching mechanisms in use were unfair and manipulable. Surprisingly, the mechanisms remained unfair even after the reforms:…
Modern financial market dynamics warrant detailed analysis due to their significant impact on the world. This, however, often proves intractable; massive numbers of agents, strategies and their change over time in reaction to each other…
Decision-making systems increasingly orchestrate our world: how to intervene on the algorithmic components to build fair and equitable systems is therefore a question of utmost importance; one that is substantially complicated by the…
Recent technological developments have changed the fundamental ways stock markets function, bringing regulatory instances to assess the benefits of these developments. In parallel, the ongoing machine learning revolution and its multiple…
In peer mechanisms, the competitors for a prize also determine who wins. Each competitor may be asked to rank, grade, or nominate peers for the prize. Since the prize can be valuable, such as financial aid, course grades, or an award at a…
Two-sided matching markets describe a large class of problems wherein participants from one side of the market must be matched to those from the other side according to their preferences. In many real-world applications (e.g. content…
We discuss the objectives of automation equipped with non-trivial decision making, or creating artificial intelligence, in the financial markets and provide a possible alternative. Intelligence might be an unintended consequence of…
We study strategic interactions in a broker-mediated market in which agents learn and exploit each other's private information. A broker provides liquidity to an informed trader and to noise traders while managing inventory in a lit market.…
Financial and gambling markets are ostensibly similar and hence strategies from one could potentially be applied to the other. Financial markets have been extensively studied, resulting in numerous theorems and models, while gambling…
We investigate the profitability and risk of energy storage arbitrage in electricity markets under price uncertainty, exploring both robust and chance-constrained optimization approaches. We analyze various uncertainty representations,…