Introduction
Regulators, researchers, and professional investors are interested in the impact that proposed financial policies, trading algorithms, and agent behaviour have on financial systems. This interest follows from an onslaught of flash-crashes that has led to a call for improved market stability. The problem is that purely studying the record of the past only gives us a glimpse of a single world view. To study a true counterfactual there is a need to model the financial system and its interacting parts in all its complexity. To do this we have to, at first, set aside reductive economic theories and focus on modelling complex adaptive systems. In recent years multi-agent based systems have been the prevailing paradigm to model realistic financial environments. Current machine learning innovations like deep supervised and reinforcement learning have also played an important role in accurately modelling advanced algorithmic methods. In this workshop, we bring together the world’s thought leaders on this subject.
Organisers
Derek Snow, Stefan Zohren, and Sam Cohen.
About the event
Introduction
10:00-10:15 – Sam Cohen – Oxford, Turing
Introduction to reinforcement learning and market simulation implications
10:15-10:45 – Steve Roberts – Oxford Man Institute
10:45-11:00 – Discussion
Understanding flash crash contagion and systemic risk: a calibrated agent-based approach
11:00-11:30 – James Paulin – CS Oxford University
11:30-11:45 – Discussion
Design, implementation and analysis of financial market ABMs
11:45-12:15 – Maarten Scholl – INET Oxford
12:15-12:30 – Discussion
DeepLOB: Deep convolutional neural networks for limit order books
12:30-13:00 – Zihao Zhang - Oxford Man Institute
13:00-13:15 – Discussion
Empirical game-theoretic analysis of algorithmic trading scenarios
13:15-13:45 – Michael Wellman – University of Michigan
13:45-14:00 – Discussion
Agent-based interactive discrete event simulation
14:00-14:30 – David Byrd - Georgia Institute of Technology
14:30-14:45 – Discussion
AI multi-agent RL for agent-based modelling of over-the-counter markets
14:45-15:15 – Sumitra Ganesh – JP Morgan AI Research
15:15-15:30 – Discussion
Closing remarks
15:30-15:45 – Stefan Zohren – Oxford Man Institute