相关论文: Libra: Fair Order-Matching for Electronic Financia…
Ranking is a fundamental operation in information access systems, to filter information and direct user attention towards items deemed most relevant to them. Due to position bias, items of similar relevance may receive significantly…
To execute a trade, participants in electronic equity markets may choose to submit limit orders or market orders across various exchanges where a stock is traded. This decision is influenced by the characteristics of the order flow and…
Decisions suggested by improperly designed software systems might be prone to discriminate against people based on protected characteristics, such as gender and ethnicity. Previous studies attribute such undesired behavior to flaws in…
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…
The modelling of financial markets presents a problem which is both theoretically challenging and practically important. The theoretical aspects concern the issue of market efficiency which may even have political implications…
Resource distribution is a fundamental problem in economic and policy design, particularly when demand and supply are not naturally aligned. Without regulation, wealthier individuals may monopolize this resource, leaving the needs of others…
We study the problem of optimal trading using general alpha predictors with linear costs and temporary impact. We do this within the framework of stochastic optimization with finite horizon using both limit and market orders. Consistently…
Human lives are increasingly being affected by the outcomes of automated decision-making systems and it is essential for the latter to be, not only accurate, but also fair. The literature of algorithmic fairness has grown considerably over…
Institutions and investors face the constant challenge of making accurate decisions and predictions regarding how best they should distribute their endowments. The problem of achieving an optimal outcome at minimal cost has been extensively…
The definition and implementation of fairness in automated decisions has been extensively studied by the research community. Yet, there hides fallacious reasoning, misleading assertions, and questionable practices at the foundations of the…
Interaction strategies for reward in competitive environments are significantly influenced by the nature and extent of available information. In financial markets, particularly foreign exchange (forex), traders operate independently with…
This paper examines the role of algorithmic trading in modern financial markets. Additionally, order types, characteristics, and special features of algorithmic trading are described under the lens provided by the large development of high…
We study the problem of fair online resource allocation via non-monetary mechanisms, where multiple agents repeatedly share a resource without monetary transfers. Previous work has shown that every agent can guarantee $1/2$ of their ideal…
Since they were authorized by the U.S. Security and Exchange Commission in 1998, electronic exchanges have boomed, and by 2010 high frequency trading accounted for over 70% of equity trades in the US. Such markets are thought to increase…
We construct an empirically founded model of a repo trade intermediated by two broker-dealers and prove multiple equilibrium and the existence of equilibrium at the joint profit maximizing volume of trade. We then present a smart contract…
Algorithmic decision-making in high-stakes settings can have profound impacts on individuals and populations. While much prior work studies fairness in static settings, recent results show that enforcing static fairness constraints may…
Efficient computability is an important property of solution concepts in matching markets. We consider the computational complexity of finding and verifying various solution concepts in trading networks-multi-sided matching markets with…
When users access shared resources in a selfish manner, the resulting societal cost and perceived users' cost is often higher than what would result from a centrally coordinated optimal allocation. While several contributions in mechanism…
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…
Game-theoretic techniques and equilibria analysis facilitate the design and verification of competitive systems. While algorithmic complexity of equilibria computation has been extensively studied, practical implementation and application…