Defining and Controlling Information Leakage in US Equities Trading

ePrint Report: Defining and Controlling Information Leakage in US Equities Trading

Arthur Americo, Allison Bishop, Paul Cesaretti, Garrison Grogan, Adam McKoy, Robert Moss, Lisa Oakley, Marcel Ribeiro, Mohammad Shokri

We present a new framework for defining information leakage in the setting of US equities trading, and construct methods for deriving trading schedules that stay within specified information leakage bounds. Our approach treats the stock market as an interactive protocol performed in the presence of an adversary, and draws inspiration from …

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