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Monday, February 3, 2014

CS / UMIACS Distinguished Seminar - Strategic Reasoning and Mechanism Design from Agent-Based Finance Models

Understanding the workings of today's financial systems requires consideration of critical computational ingredients. Agent-based modeling (ABM) affords direct representation of these computational elements, and accommodates the heterogeneity and complexity characteristic of financial environments. This is demonstrated with two recent finance-related studies. The first concerns the functioning of information and trust networks in the systemic flow of credit. Using empirical game-theoretic methods, we investigate conditions for the formation of viable credit networks by self-interested agents. The second investigates implications of the trend toward trading in securities by algorithmic entities, at unprecedented degrees of speed and autonomy. We find that latency arbitrage degrades allocative efficiency. This study support our proposal to switch from continuous-time trading to one-second call markets. {Will appear in FYI on Jan 30, 2014
Start Time:
4:00 PM
End Time:
5:00 PM
Common Location Name:
Computer Science Instructional Center
Web Address:
Other Contact Information:
Louiqa Raschid +1 301 405 2228

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