VIRTUAL FINANCIAL MARKETS

2006:

Das, Sanmay (Ph.D. Thesis, EECS, MIT, April 2006): Dealers, Insiders and Bandits: Learning and Its Effects on Market Outcomes.

2005:

Das, S. Learning to Trade with Insider Information, CBCL Paper #255/AI Memo #2005-028, Massachusetts Institute of Technology, Cambridge, MA, October, 2005.

Das, S. "A Learning Market-Maker in the Glosten-Milgrom Model," Quantitative Finance, Vol. 5, No. 2, 169-180, April 2005.

Das, S. and E. Kamenica. Two-Sided Bandits and the Dating Market. In: Proceedings of the Nineteenth International Joint Conference on Artificial Intelligence, Edinburgh, UK, 947-952, August 2005.

2003:

Das, S. Intelligent Market-Making in Artificial Financial Markets, CBCL Paper #226/AI Technical Report #2003-005, Massachusetts Institute of Technology, Cambridge, MA, May 2003.

Das, Sanmay (S.M. Thesis, EECS, MIT, June 2003): Intelligent Market-Making in Artificial Markets.

2002:

Kim, A.J. and Shelton, C.R. Modeling Stock Order Flows and Learning Market-Making from Data, CBCL Paper #217/AI Memo #2002-009, Massachusetts Institute of Technology, Cambridge, MA, June 2002.

2001:

Chan, N.T., B. LeBaron, A.W. Lo and T. Poggio. Agent-Based Models of Financial Markets: A Comparison with Experimental Markets, MIT Sloan Working Paper No. 4195-01, Social Science Research Network Electronic Library, October 2001.

Chan, N. (Ph.D., EECS, MIT, February 2001): Artificial Markets and Intelligent Agents.

Chan, N., E. Dahan, A. Lo and T. Poggio. Experimental Markets for Product Concepts, CBCL Paper #200/AI Memo #2001-013, Massachusetts Institute of Technology, Cambridge, MA, July 2001.

Chan, N. and C. Shelton. An Electronic Market-Maker, CBCL Paper #195/AI Memo #2001-005, Massachusetts Institute of Technology, Cambridge, MA, April 2001.

Shelton, C. (Ph.D. Thesis, EECS, MIT, August 2001): Importance Sampling for Reinforcement Learning with Multiple Objectives.

1999:

Rachlevsky-Reich, B., I. Ben-Shaul, N. Tung Chan, A. Lo and T. Poggio. GEM: A Global Electronic Market System, Information Systems, Vol. 24, No. 6, p. 495-518, 1999.

Wang, J. (S.M. Thesis, EECS, MIT, May 1999): "Information Aggregation and Dissemination in Simulated Markets."

1998:

Chan, N., B. LeBaron, A. Lo and T. Poggio. Information Dissemination and Aggregation in Asset Markets with Simple Intelligent Traders, CBCL Paper #164/AI Memo #1646, Massachusetts Institute of Technology, Cambridge, MA, September 1998.

Papageorgiou, C. Mixed Memory Markov Models for Time Series Analysis. In: Proceedings of Computational Intelligence for Financial Engineering, New York, March 29-31, 1998, in press.

1997:

Papageorgiou, C. High Frequency Time Series Analysis and Prediction Using Markov Models. In: Proceedings of Computational Intelligence in Financial Engineering, New York, 182-188, March 1997.