Publications

E. Wah, M. Wright, and M. P. Wellman. 2017. "Welfare effects of market making in continuous double auctions." Journal of Artificial Intelligence Research, 59:613-650. [JAIR] [pdf] image

M. P. Wellman and E. Wah. 2017. "Strategic agent-based modeling of financial markets." The Russell Sage Foundation Journal of the Social Sciences, 3(1):104-119. [RSF] [pdf] image

E. Wah and M. P. Wellman. 2016. "Latency arbitrage in fragmented markets: A strategic agent-based analysis." Algorithmic Finance, 5(3-4):69-93. [IOS Press] [pdf] image

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] image

E. Wah. 2016. "How prevalent and profitable are latency arbitrage opportunities on U.S. stock exchanges?" SSRN Electronic Journal. (Working Paper) [SSRN] image

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 Proceedings of the Third EAI Conference on Auctions, Market Mechanisms, and their Applications. EAI. [pdf] [appendix] image

E. Wah and M. P. Wellman. 2015. "Welfare effects of market making in continuous double auctions." In Proceedings of the 2015 International Conference on Autonomous Agents and Multiagent Systems, pages 57-66. IFAAMAS. [ACM DL] [SRG] [pdf] [appendix] image

E. Wah and M. P. Wellman. 2013. "Latency arbitrage, market fragmentation, and efficiency: A two-market model." In Proceedings of the 14th ACM Conference on Electronic Commerce, pages 855-872. ACM. [ACM DL] [SRG] [pdf] image

E. Wah, Y. Mei, and B. W. Wah. 2011. "Portfolio optimization through data conditioning and aggregation." In Proceedings of the 23rd IEEE International Conference on Tools with Artificial Intelligence, pages 253-260. IEEE. [IEEE Xplore] image

Theses

E. Wah. 2016. Computational models of algorithmic trading in financial markets. PhD Dissertation. University of Michigan, Ann Arbor. [pdf]

E. Wah. 2010. Portfolio optimization through data conditioning and aggregation. Master's thesis. University of California, Los Angeles.

Posters

E. Wah, E. Johnson, L. Auvil, U. Thakkar, W.-M. Hwu, D. Kirk, T. H. Dunning, and S. C. Glotzer. 2008. "Visualization and analysis of GPU Summer School applicants and participants." In Fourth IEEE International Conference on eScience, pages 362-363. IEEE. image

E. Johnson and E. Wah. 2008. "Data visualization and analysis of CIC graduate student TeraGrid resource usage." In Fourth IEEE International Conference on eScience, pages 354-355. IEEE. image