Market Making with Learned Beta Policies
Nov 14, 2024·,,
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1 min read
Yongzhao Wang
Rahul Savani
Anri Gu
Chris Mascioli
Theodore L Turocy
Michael P Wellman
Type
Publication
In Proceedings of the 5th ACM International Conference on AI in Finance
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This study investigates how market liquidity affects the vulnerability of financial markets to spoofing attacks - a form of market manipulation where traders place orders they intend to cancel to mislead other market participants. Through systematic agent-based simulations, we analyze the relationship between market liquidity conditions and the profitability of spoofing strategies.
