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

Paper 2023/971

Defining and Controlling Information Leakage in US Equities Trading

Arthur Americo, Proof Trading

Allison Bishop

, Proof Trading, City College CUNY

Paul Cesaretti, The Graduate Center, CUNY, Proof Trading

Garrison Grogan

Adam McKoy, Proof Trading

Robert Moss, Proof Trading

Lisa Oakley, Northeastern University, Proof Trading

Marcel Ribeiro, Proof Trading

Mohammad Shokri, The Graduate Center, CUNY, Proof 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.
Keywords: differential privacy
Contact author(s): arthuramerico @ gmail com
allison @ prooftrading com
pcesaretti @ gradcenter cuny edu
garrisonwgrogan @ gmail com
amckoy000 @ citymail cuny edu
robertnmoss @ icloud com
oakley l @ northeastern edu
marcel @ prooftrading com
mshokri @ gradcenter cuny edu
History: 2023-06-21: approved; 2023-06-21: received; See all versions
Short URL: https://ia.cr/2023/971
License: CC BY

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},
      note = {\url{https://eprint.iacr.org/2023/971}},
      url = {https://eprint.iacr.org/2023/971}
}