A Cloaking Mechanism to Mitigate Market Manipulation
A Cloaking Mechanism to Mitigate Market Manipulation
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DOI：
10.24963/ijcai.2018/75
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发表时间：
2018-05
期刊：
影响因子：
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通讯作者：
Xintong Wang;Yevgeniy Vorobeychik;Michael P. Wellman
中科院分区：
文献类型：
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作者：
Xintong Wang;Yevgeniy Vorobeychik;Michael P. Wellman
我们提出了一种隐藏机制来阻止欺骗（金融市场的一种操纵形式）。该机制的工作原理是从订单簿内部对称隐藏指定数量的价格水平。为了研究伪装的有效性，我们模拟了充满背景交易者和剥削者的市场，他们通过策略性的欺骗来获利。交易者遵循两种代表性的竞价策略：不可欺骗的零智能和可操纵的启发式信念学习。通过对不同参数环境的实证博弈论分析，我们评估了交易者累积的盈余，并描述了隐藏行为减轻操纵和有利于市场福利的条件。我们进一步设计了复杂的欺骗策略来探测隐藏的信息，并发现付出的努力和风险超过了收益。
We propose a cloaking mechanism to deter spoofing, a form of manipulation in financial markets. The mechanism works by symmetrically concealing a specified number of price levels from the inside of the order book. To study the effectiveness of cloaking, we simulate markets populated with background traders and an exploiter, who strategically spoofs to profit. The traders follow two representative bidding strategies: the non-spoofable zero intelligence and the manipulable heuristic belief learning. Through empirical game-theoretic analysis across parametrically different environments, we evaluate surplus accrued by traders, and characterize the conditions under which cloaking mitigates manipulation and benefits market welfare. We further design sophisticated spoofing strategies that probe to reveal cloaked information, and find that the effort and risk exceed the gains.