Working Papers

E. Wah and S. Feldman. 2018. "Gone in sixty seconds: The cost of trading in long queues." [SSRN] [IEX] image

E. Wah. 2016. "How prevalent and profitable are latency arbitrage opportunities on U.S. stock exchanges?" [SSRN] image

Press: Reuters, Quartz

Conference Publications

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, 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] [SRG] [pdf] [appendix] image

Award: Pragnesh Jay Modi Best Student Paper

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] [SRG] [pdf] image

Press: The Guardian, Michigan CSE, Michigan Engineering, TechCrunch, Quartz, Bloomberg, HuffPost, CNN Money,
ThinkProgress, Die Zeit, Reuters

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

Journal 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

Book Chapters

E. Wah, S. Feldman, F. Chung, A. Bishop, D. Aisen. 2019. "A comparison of execution quality across U.S. stock exchanges." In Global Algorithmic Capital Markets, chapter 5. Oxford University Press. [OUP] [IEX]


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.


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