I completed my PhD in Computer Science & Engineering at the University of Michigan, Ann Arbor in April 2016. My research interests lie at the intersection of finance and artificial intelligence, specifically in applying computational, simulation-based methods to study algorithmic trading in financial markets. While at Michigan, I was a member of the Strategic Reasoning Group and I was advised by Michael Wellman.
I received a master's degree in Computer Science from the University of California, Los Angeles (UCLA) in December 2010, and I completed my undergraduate studies in Electrical Engineering at the University of Illinois at Urbana-Champaign (UIUC) in May 2008.
- April 4, 2016: Completed my dissertation and all requirements for the PhD in Computer Science & Engineering
- March 10, 2016: Successfully defended my dissertation!
- Fall 2015: Interned again in the Office of Markets within DERA at the SEC
- Summer 2015: Interned at Microsoft Research NYC
- May 7, 2015: Received the Pragnesh Jay Modi Best Student Paper award at AAMAS '15 for "Welfare effects of market making in continuous double auctions" [link]
- Summer 2014: Interned in the Office of Markets within the Division of Economic and Risk Analysis at the U.S. Securities and Exchange Commission
- April 4, 2014: My op-ed in The Guardian on "Flash Boys" by Michael Lewis [link]
- December 11, 2013: Submitted public comment on CFTC concept release on automated trading environments [CFTC]
- September 3, 2013: Two-market model paper (ACM EC '13) in the news [Michigan CSE] [Michigan Engineering] [TechCrunch] [Quartz] [Bloomberg] [HuffPost] [Themis Trading blog] [ThinkProgress] [Die Zeit] [Fortune / CNN Money] [Felix Salmon's blog / Reuters]
- May 22, 2013: Participant in the 2013 NSF IGERT Video & Poster Competition! [entry] [YouTube]
- E. Wah, S. Lahaie, D. M. Pennock. 2016. "An Empirical Game-Theoretic Analysis of Price Discovery in Prediction Markets." In 25th International Joint Conference on Artificial Intelligence, pages 510-516. [pdf]
- E. Wah. 2016. Computational Models of Algorithmic Trading in Financial Markets. PhD Dissertation. University of Michigan, Ann Arbor, MI. [pdf]
- E. Wah. 2016. "How prevalent and profitable are latency arbitrage opportunities on U.S. stock exchanges?" Working Paper. [SSRN]
- E. Wah, D. R. Hurd, and M. P. Wellman. 2015. "Strategic market choice: Frequent call markets vs. continuous double auctions for fast and slow traders." In Third EAI Conference on Auctions, Market Mechanisms, and their Applications. EAI. [pdf]
- E. Wah and M. P. Wellman. 2015. "Welfare effects of market making in continuous double auctions." In 14th International Conference on Autonomous Agents and Multiagent Systems, pages 57-66. IFAAMAS. [ACM DL] [pdf]
- E. Wah and M. P. Wellman. 2013. "Latency arbitrage, market fragmentation, and efficiency: A two-market model." In 14th ACM Conference on Electronic Commerce, pages 855-872. ACM. [ACM DL] [pdf]