Paper 2023/971 Original: eprint.iacr.org/2023/971 ↗
Defining and Controlling Information Leakage in US Equities Trading
Abstract
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 the related disciplines of differential privacy as well as quantitative information flow. We apply a linear programming solver using examples from historical trade and quote (TAQ) data for US equities and describe how this framework can inform actual algorithmic trading strategies.
Metadata
- Available format(s)
PDF- Category
- Foundations
- Publication info
- Preprint.
- History
- 2023-06-21: last updated
- 2023-06-21: published
- Short URL
- https://ia.cr/2023/971
- License
- https://creativecommons.org/licenses/by/4.0/
BibTeX
@misc{cryptoeprint:2023/971,
author = {Arthur Americo and Allison Bishop and Paul Cesaretti and Garrison Grogan and Adam McKoy and Robert Moss and Lisa Oakley and Marcel Ribeiro and Mohammad Shokri},
title = {Defining and Controlling Information Leakage in US Equities Trading},
howpublished = {Cryptology {ePrint} Archive, Paper 2023/971},
year = {2023},
url = {https://eprint.iacr.org/2023/971}
}